Arbitrage am DAX-Futures Markt unter Berücksichtigung von Einkommenssteuern
- Arbitrage on the DAX Futures Market under Tax Considerations This paper studies the ex-ante intra-day efficiency of the DAX futures market since the very introduction of this contract at the German Futures Exchange. This study incorporates all transaction data pertaining to the DAX futures contract and the DAX values before 31 December 1991 calculated every minute at Deutsche Wertpapierbörse. The DAX futures evaluation model takes account of different rates of tax applicable to private investors, of transaction costs, response times and the modalities of calculating the DAX index by the cost-of-carry method. The paper discusses the existence and, where appropriate, the width of a “market canal” which indicates an arbitrage-free zone. The results do, inter alia, not indicate that the efficiency of this market has increased over time.
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| Author: | Günter BambergGND, Klaus Röder |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-782804 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/78280 |
| ISSN: | 2199-1227OPAC |
| Parent Title (Multiple languages): | Credit and Capital Markets: Kredit und Kapital |
| Publisher: | Duncker & Humblot |
| Place of publication: | Berlin |
| Type: | Article |
| Language: | German |
| Date of Publication (online): | 2020/07/24 |
| Year of first Publication: | 1993 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2020/07/30 |
| Volume: | 26 |
| Issue: | 4 |
| First Page: | 575 |
| Last Page: | 607 |
| DOI: | https://doi.org/10.3790/ccm.26.4.575 |
| Institutes: | Wirtschaftswissenschaftliche Fakultät |
| Wirtschaftswissenschaftliche Fakultät / Institut für Statistik und mathematische Wirtschaftstheorie | |
| Wirtschaftswissenschaftliche Fakultät / Institut für Statistik und mathematische Wirtschaftstheorie / Lehrstuhl für Statistik | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  CC-BY 4.0: Creative Commons: Namensnennung (mit Print on Demand) |
