An examination of the relationship between stock index cash and futures markets: a cointegration approach

Article Abstract:

A cointegration analysis applied the three-month and six-month futures contract expiration relationship with the S&P 500 stock index indicates a market efficiency as seen in the cointegration of spot indexes and the three-month and the six-month futures contract expiration. Another interesting result of the tests show the lead of the futures market over the spot market by twenty minutes, but no conclusive causality can be detected between futures prices and spot market prices.

Commodity exchanges, Spot market

---

Linear dependence, nonlinear dependence and petroleum futures market efficiency

Article Abstract:

Linear and non-linear dependence are examined in three petroleum futures returns. Both dependence exist in the three energy futures. The proof against market efficiency, provided by linear dependence tests, is not reflected by the data when the nonlinear dependence data are considered. A GARCH(1,1) model also provides evidence for the martingale hypothesis. The null hypothesis that the lagged and constant terms are jointly zero is not rejected.

PETROLEUM AND COAL PRODUCTS, Petroleum, Petroleum and Coal Products Manufacturing, Commodity futures, Futures

---

Similar abstracts:

• Abstracts: Index participation units and the performance of index futures markets: evidence from the Toronto 35 Index Participation Units market
• Abstracts: The profitability of index futures arbitrage: evidence from bid-ask quotes. The effectiveness of arbitrage and speculation in the crude oil futures market

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.