A Test of the Cost of Carry Relationship using 90‐Day Bank Accepted Bills and the All Ordinaries Share Price Index

Heaney R. (1995) A Test of the Cost of Carry Relationship using 90‐Day Bank Accepted Bills and the All Ordinaries Share Price Index. Australian Journal of Management, 20 1: 75-104. doi:10.1177/031289629502000104


Author Heaney R.
Title A Test of the Cost of Carry Relationship using 90‐Day Bank Accepted Bills and the All Ordinaries Share Price Index
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 1327-2020
Publication date 1995-01-01
Sub-type Article (original research)
DOI 10.1177/031289629502000104
Volume 20
Issue 1
Start page 75
End page 104
Total pages 30
Subject 1400 Business, Management and Accounting
Abstract Cross contract regression analysis provides a framework for testing the statistical fit of the cost of carry model in the financial futures contracts, the 90‐Day Bank Accepted Bill Futures contract and the Australian All Ordinaries Share Price Index Futures contract. The interest rate to maturity is a major factor in pricing the ninety day bank accepted bill futures contract consistent with simple cost of carry model yet the cost of carry model provides little explanatory power for the share price index futures contract.
Keyword ARBITRAGE
FUTURES
PRICING MODELS
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
 
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