IPSA Futures Arbitration

Authors

  • Carlos Díaz C. Universidad Católica del Norte
  • Salvador Zurita L. Universidad Adolfo Ibañez

Abstract

In April of 1991, the Bolsa de Comercio de Santiago, the oldest and most important stock exchange in Chile, started listing futures on IPSA, a popular stock index formed by the forty most highly traded stocks of the country. In this paper we study to what extent the theorical arbitrage relations between future and spot prices of IPSA have held in the case of the contract of futures on IPSA.

Keywords:

IPSA, Future contracts, Theoretical arbitrage relations