The Development of the Gko Futures Market in Russia
نویسندگان
چکیده
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 results. Secondly, we study the degree of integration between GKO secondary and futures markets and its evolution over time. There is evidence of such integration, we found that this measure is time-varying and reveals the presence of a structural break in the market integration from April 1997 onwards.
منابع مشابه
Gauhar Turmuhambetova THE DEVELOPMENT OF THE GKO MARKET IN RUSSIA
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 u...
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