Temporal relationships and dynamic interactions between spot and futures stock markets

Article Abstract:

Volatility in both the stock index market and futures index market can be predicted in a model using a bivariate error correction EGARCH equation. Stock return volatility is affected asymmetrically by past innovations, while the volatility of futures returns is affected to a higher degree. The short-term dynamics of both markets could be concluded as similar. The study suggests that models based on contemporaneous relationships could be misspecified.

Securities Exchanges, Stock-exchange, Stock exchanges, Exchanges, Futures market, Futures markets

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Storage profitability and hedge ratio estimation

Article Abstract:

A new model for estimating the minimum-variance hedge ratios for storable commodities has been developed. Unlike previous models, the new approach asserts that hedge regressions should be conditional based on the available information during the placement of the hedge. It also asserts that such information should be included in a specific information set. Moreover, the model has provisions for testing whether the size of the hedge ratio estimate is dependent on the expected profitability of storage.

Research, Hedging (Finance), Commodity futures

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Similar abstracts:

• Abstracts: Intraday volatility in interest rate and foreign exchange spot and futures markets. Cash settlement of futures contracts: an economic analysis
• Abstracts: Return and volatility dynamics in the spot and futures markets in Australia: an intervention analysis in a bivariate EGARCH-X framework

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