A research study using co-integration analysis to study the relationship between the stock index cash and futures market in relation to price discovery.
Written in 2004; 3,752 words; 27 sources; MLA; $ 103.95
Paper Summary:
Co-integration has come to represent an econometric data analysis method that has been utilized to determine the long-run equilibrium relationships among nonstationary economic variables. This paper uses co-integration analysis to determine the relationship between the stock index cash and futures market in relation to price discovery, market stability, and market efficiency. The data for the study was collected from the Athens Derivatives Exchange S.A. (ADEX), with the main data for the study being the returns of the FTSE/ASE-20 futures and spot index. In order to study the relationship between the ADEX stock index cash and futures market in this paper, daily closing price returns of the FTSE/ASE-20 Index are considered for the period from 3 January 2000 to 27 July 2003. The paper includes several graphs and tables.
Paper Outline:
Data
Methodology
OLS Results
Co-integration Results
References
From the Paper:
"GARCH modeling represents an important data analyses procedure as it provides a means of further understanding and modeling volatility, taking into account excess kurtosis (i.e., fat tail behavior) and volatility clustering, two important characteristics of financial time series. It provides accurate forecasts of variances and covariances of asset returns through its ability to model time-varying conditional variances. As a consequence, the application of GARCH models has been identified as useful in risk management, portfolio management and asset allocation, option pricing, foreign exchange, and the term structure of interest rates."
We have thousands of high-quality term papers, research papers, essays, book reports and dissertations on every topic. At AcaDemon, you can download those term papers to help you write yours! You can be sure that the term paper, essay, book report or research paper you download are top-quality, competitively priced and high-level work.
Look for more research papers, essays and book reports on Co-integration
If you can't find your topic here, try another search
or try our affordable, unique custom paper alternative
Custom Research Services include:
Papers written from scratch, according to your specifications. Every paper is UNIQUE - Guaranteed
This Free Term Paper Abstract is a part of our Term Paper Library.Here you can purchase research papers, examples of essays, academic dissertations, articles, notes, analytical papers, book reports, stories and poems. We have thousands of persuasive, point-of-view, narrative, critical, compare and contrast and other types of essays in our Library. You can also find here Term papers on "Co-integration", Essays on "Co-integration", Research papers on "Co-integration", Student papers on "Co-integration", Book reports on "Co-integration", Dissertation on "Co-integration", Thesis on "Co-integration", Summary of paper on "Co-integration", Articles written on "Co-integration".
Look for more research papers, essays and book reports on