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Bamberg, G., Röder, K. Arbitrage am DAX-Futures Markt unter Berücksichtigung von Einkommensteuern. Credit and Capital Markets – Kredit und Kapital, 26(4), 575-607. https://doi.org/10.3790/ccm.26.4.575
Bamberg, Günter and Röder, Klaus "Arbitrage am DAX-Futures Markt unter Berücksichtigung von Einkommensteuern" Credit and Capital Markets – Kredit und Kapital 26.4, 1993, 575-607. https://doi.org/10.3790/ccm.26.4.575
Bamberg, Günter/Röder, Klaus (1993): Arbitrage am DAX-Futures Markt unter Berücksichtigung von Einkommensteuern, in: Credit and Capital Markets – Kredit und Kapital, vol. 26, iss. 4, 575-607, [online] https://doi.org/10.3790/ccm.26.4.575

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Arbitrage am DAX-Futures Markt unter Berücksichtigung von Einkommensteuern

Bamberg, Günter | Röder, Klaus

Credit and Capital Markets – Kredit und Kapital, Vol. 26 (1993), Iss. 4 : pp. 575–607

1 Citations (CrossRef)

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Article Details

Author Details

Günter Bamberg, Augsburg

Klaus Köder, Augsburg

Cited By

  1. Intraday-Volatilität und Expiration-Day-Effekte am deutschen Aktienmarkt

    Klaus, Röder,

    Günter, Bamberg,

    Credit and Capital Markets - Kredit und Kapital, Vol. 29 (1996), Iss. 2 P.244

    https://doi.org/10.3790/ccm.29.2.244 [Citations: 0]

References

  1. Brennan, M./Schwartz, E. (1987): Optimal Arbitrage Strategies under Basis Variability, in: Sarnat, M., ed.: Essays in Financial Economics, Amsterdam, 1987, S. 167 - 179.  Google Scholar
  2. Brennan, M./Schwartz, E. (1990): Arbitrage in Stock Index Futu res, Journal of Business, Vol. 63, 1990, S. 7 - 32.  Google Scholar
  3. Bröker, K. (1991): Neue DTBProdukte, Anlage Praxis, 1991, S. 20 - 21.  Google Scholar

Abstract

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.