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Contemporary Approaches in Humanities

Edited By Hasan Arslan, Mehmet Ali Içbay, Günther Löschnigg and Rasim Yilmaz

This book presents a collection of papers written by researchers, teachers, administrators, analysts and graduate students working and doing research in the field of social sciences. The scientific studies include a wide range of topics from the analysis of social science textbooks to the teacher image in newspapers, the relationship between self-efficacy and cognitive level and the role of organizational silence on the loneliness of academics in work life.

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Pricing Efficiency of a Failed Futures Contract: A Transactions Data Analysis of the ISE 100 Futures (Hakan ER)

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Hakan ER*

Pricing Efficiency of a Failed Futures Contract: A Transactions Data Analysis of the ISE 100 Futures

Abstract This paper investigates the efficiency of the stock index futures market and index arbitrage for delisted ISE 100 Turkish futures contracts by employing intraday transactions data. Results indicate that the futures trading exhibited persistent underpricing. Because of the limitations on short selling in the spot market, exploiting arbitrage opportunities from this persistent underpricing is highly unlikely. However, results also indicate that there are a considerable number of overpriced futures and the mean of arbitrage profits generated from short arbitrage positions are much higher than the mean of the profits generated from long arbitrage profits.

1. Introduction

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