The efficient market hypothesis has been widely tested and, with few exceptions, found consistent with the data in a wide variety of markets: the New York and American Stock Exchanges, the Australian, English, and German stock markets, various commodity futures markets, the Over-theCounter markets, the corporate and government bond markets, the option market, and the market for seats on the New...

This study examines the impact of migration to electronic trading on the relative informational efficiency between an index futures contract and the underlying cash index. The recent move to electronic trading of the Hong Kong Hang Seng Index futures contract provides an opportunity to study how the change affects the effective bid and ask spread in the futures market and the dynamic relationsh...

~t1JNCE the introduction of futures trading in 3-month Treasury bills in 1976, yields on these futures contracts have been examined for clues as to market expectations of the future course of interest rates. Although there are difficulties in isolating these expectations, the yields on futures contracts do embody information about market expectations of future interest rates.’ However, similar ...

This paper provides evidence of linkages between the equity market and the index futures market in Australia where the futures market has experienced a major structural event due to the futures contract respecification. An extended bivariate EGARCH model is developed that includes cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. The c...

financial derivatives are new instruments through which hedging, investment and arbitrage are done in a modern economy. although the word 'derivative'primarily reminds us of options and futures, the major focus of the equity derivatives industry worldwide is on index derivatives. launching index options and index futures in tehran stock exchange, not only increases financial market de...

In the absence of market frictions, the cost of carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. We argue that tra...

China’s introduction of CSI300 futures in 2010 has aroused widespread attention to whether the stock index futures market has effectively stabilized price fluctuations of its spot market in the past four years. Since the prices of CSI300 futures and CSI300 contain numerous noises and fluctuate drastically over time, this paper applies discrete wavelet transform to denoise these series by decomp...

This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely...

Our results find that futures contracts with different maturities for emissions allowances exhibit a significant cointegration relationship by using two-step EG model, similar market information has a convergent effect on prices spreads of futures contracts with different maturities. Convenience yields implied from the futures markets exhibit a significant options property. Convenience yields a...

This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from theKorean financialmarket confirms that there is a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI and that asymmetric volatility behaviour is clearly prese...