The temporal relation between equities and stock index futures in Australia

Newman, Philip. (2003). The temporal relation between equities and stock index futures in Australia Honours Thesis, School of Business, University of Queensland.

       
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Author Newman, Philip.
Thesis Title The temporal relation between equities and stock index futures in Australia
School, Centre or Institute School of Business
Institution University of Queensland
Publication date 2003
Thesis type Honours Thesis
Total pages 81
Language eng
Subjects 1503 Business and Management
Formatted abstract This thesis examines the flow of information between the prominent Australian stock index futures contract, the SPI200, and its underlying stock index, the S&P/ASX200. A modified EGARCH framework is used to model the relationship between the two markets, focussing specifically on price discovery and volatility spillovers. The long-run cointegrating relationship between the markets is incorporated into the model to permit analysis of its effect on the conditional mean and variance of both markets. Additionally, the impact of the September-II terrorist attacks in America on the temporal relation between the two markets is investigated.

The results indicate that the futures market significantly impacts the mean and volatility of stock market returns, with a bi-directional information flow evident in the case of mean returns. The long-run equilibrium relationship is found to exert a significant influence, highlighting the importance of incorporating this information in modelling the information flow between the stock and futures markets. Analysis of the September-II event reveals that it did not have a substantial long-lasting impact on the usual relationship between the two markets.

 
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Created: Fri, 26 Nov 2010, 11:29:47 EST by Muhammad Noman Ali on behalf of The University of Queensland Library