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Assume it is now 1 January 2021 and the FBM KLCI is at 1600. The risk-free rate is 2% p.a.. The weighted average dividend yield

Assume it is now 1 January 2021 and the FBM KLCI is at 1600. The risk-free rate is 2% p.a.. The weighted average dividend yield of the FBM KLCI is 2.3% p.a. Calculate the fair value of the June 2021 (180 days to maturity) FBM KLCI futures contract. Is there any arbitrage opportunity?


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