TY  - JOUR
AB  - Purpose– The purpose of this paper is to examine the risk of inefficiency of China's stock index futures market by investigating the opportunity and profitability of exchange‐traded fund (ETF) arbitrage. The explanation of behavioral risk to market efficiency is examined.Design/methodology/approach– Based on cost‐of‐carry model, some assumptions about market efficiency were examined, and statistical tests were implemented to support the findings.Findings– In China, borrowing and lending interest rates are quite different; dividends are small and paid in an irregular manner; and short sale cannot be used in arbitrage by all investors. It is found that the Chinese index futures market is far from efficient.Originality/value– With reference to the empirical study, this is believed to be the first application of behavioral study to the study of market efficiency. The analysis of the statistics about Chinese index futures market and the algorithm parameters are very valuable for in‐depth understanding of the emerging markets.
VL  - 41
IS  - 10
SN  - 0368-492X
DO  - 10.1108/03684921211276756
UR  - https://doi.org/10.1108/03684921211276756
AU  - Ma Chaoqun
AU  - Liu Lan
AU  - Wang Junbo
AU  - Chen Jing
ED  - Desheng Dash Wu
PY  - 2012
Y1  - 2012/01/01
TI  - Risk of inefficiency on the Chinese index futures market
T2  - Kybernetes
PB  - Emerald Group Publishing Limited
SP  - 1571
EP  - 1585
Y2  - 2024/04/19
ER  -