A re-examination of the relationship between FTSE100 index and futures prices

This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out u...

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Bibliographic Details
Main Author: Juan Tao
Format: Default Thesis
Published: 2008
Subjects:
Other economics not elsewhere classified
Cost of carry
Trend-corrected basis
Artificial price jumps
Vector error correction model (VECM)
DCC-TGARCH
CCF test
Non-linear cointegration
Mispricing
Threshold VECM
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/8071
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https://hdl.handle.net/2134/8071

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