Dynamic efficiency and price leadership in the DAX-future and the DAX cash market: An empirical investigation

Arbeitspapier

This paper provides results of an empirical study, adressing both the question of the efficiency of the DAX-fFuture market concerning its risk transfer function and the question of price leadership. For determining the pricing relationship between the futures and the cash market, co-integration analysis and nonlinear least squares estimation methods are applied. Results indicate that the pricing relationship is closely related to the cost-of-carry model and co-integrated. It will be shown that the cash market leads the futures market.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tübinger Diskussionsbeiträge ; No. 36

Classification and Topics

• Classification: Wirtschaft
• Subject: Index-Futures ; Aktienindex ; Effizienzmarkthypothese ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Merz, Frederic
• Event: Veröffentlichung
• (who): Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
• (where): Tübingen
• (when): 1994

Further information

• Handle: http://hdl.handle.net/10419/104881
• Last update: 10.03.2025, 11:45 AM CET