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Price discovery in the South African stock index futures market
| Content Provider | Semantic Scholar |
|---|---|
| Author | Floros, Christos |
| Copyright Year | 2009 |
| Abstract | This paper examines the price discovery between futures and spot markets in South Africa over the period 2002 to 2006. We employ four empirical methods: (i) a cointegration test, (ii) a Vector Error Correction model, (iii) a Granger causality test, and (iv) an Error Correction model with TGARCH errors. Empirical results show that FTSE/JSE Top 40 stock index futures and spot markets are cointegrated. Furthermore, Granger causality, VECM and ECM-TGARCH(1,1) results suggest a bidirectional causality (feedback) between futures and spot prices. We show that futures and spot play a strong price discovery role (FTSE/JSE Top 40 futures prices lead spot prices and vice versa). |
| Starting Page | 148 |
| Ending Page | 159 |
| Page Count | 12 |
| File Format | PDF HTM / HTML |
| Volume Number | 34 |
| Alternate Webpage(s) | https://researchportal.port.ac.uk/portal/files/53852/FLOROS_irjfe_34_12.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
