Gauhar Turmuhambetova THE DEVELOPMENT OF THE GKO MARKET IN RUSSIA
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چکیده
This study is devoted to analyzing the development of the GKO market in Russia. The period of time considered is September 1996-September 1997. Interaction of two segments of the market is analyzed: futures market and secondary market. It is proved that there exists a risk premium on the futures market that leads to underpricing on the futures market. That is the futures price is no longer an unbiased estimator for the spot price of the GKO. The two markets are shown to be integrated with each other. However, considering the measure of cointegration to change over time, it is shown that by the end of given period the two markets became not integrated. For this purpose, Kalman filter approach was used. Possible explanations of this phenomenon are given.
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The Development of the Gko Futures Market in Russia
Abstract: This study analyzes two issues related to the GKO futures market in Russia in 1996 and 1997. First, we evaluate the existence of a risk premium in this market. We show its existence providing a functional form for the premium. The main result is that risk premium depends positively on the time before delivery of the futures contract. We provide anecdotal evidence in support of our res...
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