Distortion-free futures price series

Article Abstract:

A survey of 10 articles that use long time series derived from futures prices shows that there is lack of consensus regarding the proper method of constructing a futures price time series. This may give the impression that the variable or linking approach used for such time series is not important. However, it was shown that the linking method and the form of the price variable both have significant effects on most statistical tests. Techniques to arrive at the best approach for connecting expiring futures or option contract prices are presented.

Methods, Options (Finance), Time-series analysis, Time series analysis

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The impact of market-specific public information on return variance in an illiquid market

Article Abstract:

Market-specific public information influences trading variance in an illiquid market. An analysis of the municipal bond futures market (MBF) market shows that public announcements of cash instrument-based prices help trading variance achieve levels higher than that of nontrading variance. On the other hand, market-specific public information contributes to the lowering of trading and nontrading variances during delivery months as compared to nondelivery months.

Commodities Purchasing, Analysis, Purchasing, Evaluation, Stocks, Commodity exchanges, Commodities

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DAX index futures: mispricing arbitrage in German markets

Article Abstract:

A study was conducted to determine whether or not the relationship between index futures prices and the underlying stock indices can be described by the cost-of-carry model. The study used a new data set for the German stock index Deutscher Aktienindex (DAX) and related DAX futures. The results show that the cost-of-carry model cannot be used to describe the relationship between index and futures prices, and that futures contracts are undervalued.

Stock price indexes, Arbitrage, Stock index futures, Deutscher Aktienindex (Index)

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