Inter-market spread trading: evidence from UK index futures markets
(2002)
Journal Article
Butterworth, D., & Holmes, P. (2002). Inter-market spread trading: evidence from UK index futures markets. Applied financial economics, 12(11), 783-790. https://doi.org/10.1080/09603100110044236
This paper employs the theoretical no-arbitrage conditions to investigate whether the inter-market spread comprising of positions in the FTSE 100 contract and FTSE Mid 250 contract is priced according to fair value. The results show that while transa... Read More about Inter-market spread trading: evidence from UK index futures markets.