Discuss concept of implied repo rate on index arbitrage

Reference no: EM131323656

On August 20 a stock index futures, which expires on September 20, was priced at 429.70. The index was at 428.51. The dividend yield was 2.7 percent.

Discuss the concept of the implied repo rate on an index arbitrage trade. Determine the implied repo rate on this trade, and explain how you would evaluate it.

Reference no: EM131323656

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