The Cost-of-Carry Model for the FW20 Futures Contracts: Threshold Cointegration Framework

• Autorzy: Joanna Bruzda
• Języki publikacji: EN

Abstrakty

EN

Chapter 11 presents the cost-of-carry model for futures contracts on the Warsaw Stock Exchange index WIG20. Intraday one-minute data has been used. It has been found that the presence of transaction costs causes mispricing series from non-arbitrage cost-of-carry relationships to have a nonlinear form. Arbitrageurs take a long or a short position only if the mispricing is greater in magnitude than a certain threshold. This causes the dynamics of the mispricing series to be effectively described by threshold autoregressive processes with three regimes. Such processes allow for a unit-root behavior in a middle regime, while at the same time being globally second-order stationary. In the chapter a non-arbitrage relationship is examined in the threshold cointegration framework. (fragment of text)

Słowa kluczowe

EN

Futures contracts; Arbitrage Pricing Theory (APT); Cost-of-Carry Model; Cointegration

PL

Kontrakty futures; Teoria arbitrażu cenowego; Model cost-of-carry; Kointegracja

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 183--205

Twórcy

autor

Joanna Bruzda

• Nicolaus Copernicus University in Toruń, Poland

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