Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorMcMillan, David-
dc.contributor.authorUlku, Numan-
dc.description.abstractThe purpose of this study is to analyze the persistent, typically negative, mispricing in the new stock index futures market in Turkey, which has amounted to 5-8%, several multiples of transaction costs. The observations suggest that it is the outcome of a combination of practical difficulties of shorting in the spot stock market, behavioral effects, and insufficient arbitrage. The magnitude of the mispricing and the absence of arbitrage make behavioral effects more visible and provide a unique opportunity to examine extant behavioral hypotheses. Results confirm effects such as disposition and/or conservatism with the mispricing negatively related to past returns, but unrelated to future returns. Finally, an orderly weakening of the negative relation to past returns and behavioral effects is observed, suggesting that such effects will diminish as the market matures.en_UK
dc.publisherWiley-Blackwell for Wiley Periodicals-
dc.relationMcMillan D & Ulku N (2009) Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited, Journal of Futures Markets, 29 (3), pp. 218-243.-
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.-
dc.titlePersistent mispricing in a recently opened emerging index futures market: Arbitrageurs inviteden_UK
dc.typeJournal Articleen_UK
dc.rights.embargoreasonThe publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.-
dc.citation.jtitleJournal of Futures Markets-
dc.type.statusPublisher version (final published refereed version)-
dc.contributor.affiliationAccounting and Finance-
dc.contributor.affiliationAkdeniz University-
Appears in Collections:Accounting and Finance Journal Articles

Files in This Item:
File Description SizeFormat 
McMillan_2009_Persistent_mispricing.pdf202.99 kBAdobe PDFUnder Permanent Embargo    Request a copy

This item is protected by original copyright

Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact providing details and we will remove the Work from public display in STORRE and investigate your claim.