Multiple Choice
The S&P/ASX200 spot contract is at 4055 and has a dividend yield of 8% p.a.The risk-free rate is 7% and the SPI futures price is currently trading at 4080.Which of the following statements is part of an arbitrage strategy to profit from this information?
A) Buy the spot and buy the futures contract
B) Borrow the spot and borrow at the risk-free rate
C) Borrow the spot and sell the future contract
D) Repay the dividends and invest at the risk-free rate
Correct Answer:
Verified
Correct Answer:
Verified
Q3: The basis converges to zero over the
Q4: The buyer of a forward contract assumes
Q6: What is the price of a
Q7: The SPI futures contract was first traded
Q9: Which of the following have been suggested
Q10: The reason(s)for the basis is/are:<br><br>A) in the
Q11: In a study by Heaney in 1995,the
Q12: In an inefficient market,the basis risk at
Q13: The S&P/ASX200 spot contract is at
Q78: Interest rate swaps involve the exchange of