Spot and Futures Prices and the Law of One Price

  • Author(s): ARIS PROTOPAPADAKIS, HANS R. STOLL
  • Published: Apr 30, 2012
  • Pages: 1431-1455
  • DOI: 10.1111/j.1540-6261.1983.tb03833.x

ABSTRACT

The law of one price (LOP) is tested for narrowly defined commodities traded in futures markets in different countries during the period 1973‐80. Although the LOP holds as an average tendency for most of the commodities, there are instances of large riskless arbitrage returns (before transactions costs). Deviations from the LOP tend to be commodity specific rather than due to a common external factor and they tend to be smaller the longer the maturity of the futures contract.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version