If the prevailing bank bill rate is 6 per cent per annum


Suppose we observe that the ASX 200 stock index is at 5,555. We also observe that the future contract on that index with 12 months to expiration is at 5,600. If the prevailing bank bill rate is 6 per cent per annum and the dividend rate d = 4 per cent per annum, does this represent an arbitrage opportunity? Use a table show the relevant asset positions and any arbitrage profits.

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Finance Basics: If the prevailing bank bill rate is 6 per cent per annum
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