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- Title
Examining the forward pricing function of the Australian equity index futures contract.
- Authors
Ivanovic, Irena; Howley, Peter
- Abstract
The relationship between the Australian equity index futures and spot prices is examined. Tests indicate that futures prices with one, two and three months to maturity are unbiased predictors of the spot and hence provide an efficient hedging mechanism for Australian equity index market participants, while six-, nine- and twelve-month futures prices are biased predictors of spot prices, indicating that speculative opportunities may exist in futures contracts for these time spreads. An analysis of the short-run dynamic properties of the long-run equilibrium relationship found that for all time spreads the futures prices respond to changes in the long-run equilibrium, and for the twelve-month contract, both futures and spot prices adjust to return to the long-run equilibrium.
- Subjects
AUSTRALIA; STOCKS (Finance); FUTURES; PRICING; INVESTMENTS
- Publication
Accounting & Finance, 2004, Vol 44, Issue 1, p57
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629x.2004.00101.x