Arbitrage am DAX-Futures Markt unter Berücksichtigung von Einkommensteuern
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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
3 Citations (CrossRef)
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Günter Bamberg, Augsburg
Klaus Köder, Augsburg
Cited By
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Die Preisbeziehung zwischen Optionen auf den DAX und dem DAX-Future an der DTB
Böttcher, Tido | Neumann, Kai | Sarstedt, VolkerCredit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 1 P.126
https://doi.org/10.3790/ccm.31.1.126 [Citations: 0] -
Der Einfluss der Besteuerung von Dividendenausschüttungen auf das Cost-of-Carry-Modell am Beispiel von DAX-Futures unterschiedlicher Laufzeit
Neumann, Kai | Wißler, HendrikCredit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 4 P.499
https://doi.org/10.3790/ccm.36.4.499 [Citations: 0] -
Intraday-Volatilität und Expiration-Day-Effekte am deutschen Aktienmarkt
Röder, Klaus | Bamberg, GünterCredit 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
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Brennan, M./Schwartz, E. (1987): Optimal Arbitrage Strategies under Basis Variability, in: Sarnat, M., ed.: Essays in Financial Economics, Amsterdam, 1987, S. 167 - 179.
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Bröker, K. (1991): Neue DTBProdukte, Anlage Praxis, 1991, S. 20 - 21.
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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.