Artikel
Sources of return in the index futures markets
The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in the equity futures market, its forecastability, and its dependence on a market segment and development stage. The third part includes an empirical study, which confirms the existence of timedependent and partially predictable risk premium. The research was based on the Polish futures market in the years 2000-2010. The last section of the paper discusses potential implications for the financial market practice and indicates areas for further research.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Contemporary Economics ; ISSN: 1897-9254 ; Volume: 5 ; Year: 2011 ; Issue: 2 ; Pages: 54-71 ; Warsaw: Vizja Press & IT
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Information and Market Efficiency; Event Studies; Insider Trading
Financial Forecasting and Simulation
- Thema
-
futures
risk premium
forward curve
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Zaremba, Adam
- Ereignis
-
Veröffentlichung
- (wer)
-
Vizja Press & IT
- (wo)
-
Warsaw
- (wann)
-
2011
- DOI
-
doi:10.5709/ce.1897-9254.12
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Zaremba, Adam
- Vizja Press & IT
Entstanden
- 2011
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