Today, in the middle of March 2023, Feroz believe that the quotations of KLCI futures in the Bursa Malaysia Derivatives (BMD) are mismatched. Feroz interested to trade RM5 millions of his portfolio between July 2023 and September 2023. Currently, the Malaysia Treasury Bill is 3.8%. The beta for his company currently shows twice volatile than the market. Currently, KLCI shows 1300 points while KLCI futures is 1350 points. KLCI futures for July, August and September currently is 1315, 1323 and 1345 points respectively. Assume in June 2023, both indices converged at 1330. The dividend yield shows 1.5% lower than current Malaysia Treasury Bill.

Today, in the middle of March 2023, Feroz believe that the quotations of KLCI futures in the Bursa Malaysia Derivatives (BMD) are mismatched. Feroz interested to trade RM5 millions of his portfolio between July 2023 and September 2023. Currently, the Malaysia Treasury Bill is 3.8%. The beta for his company currently shows twice volatile than the market. Currently, KLCI shows 1300 points while KLCI futures is 1350 points. KLCI futures for July, August and September currently is 1315, 1323 and 1345 points respectively. Assume in June 2023, both indices converged at 1330. The dividend yield shows 1.5% lower than current Malaysia Treasury Bill.

Principles of Macroeconomics (MindTap Course List)

7th Edition

ISBN:9781285165912

Author:N. Gregory Mankiw

Publisher:N. Gregory Mankiw

Chapter14: The Basic Tools Of Finance

Section: Chapter Questions

Problem 5QCMC

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