Assume it is now 17 January 2020 and the KLSE composite index is at 1146. The risk-free
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Question:
Assume it is now 17 January 2020 and the KLSE composite index is at 1146. The risk-free interest rate is 5% p.a. The weighted average dividend yield of the KLSE composite index is
2.3% p.a. What would be the fair value of the June 2020 KLSE CI futures contract? We now also have the following information:
Spot price 1146.00
Actual futures price 1192.50
a. Is the June futures contract mispriced?
b. How could you take advantage of this situation?
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