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Ceny kontraktów terminowych na WIG20 w kontekście modelu cost-of-carry

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Węgrzyn R.

Zeszyty Naukowe / Akademia Ekonomiczna w Krakowie

2002

nr 605

93-107

W opracowaniu zaprezentowano określone relacje cenowe oparte na modelu "cost-of-carry", a także wyniki analizy cen w kontekście tego modelu opartej na danych giełdowych - od stycznia 1998 do grudnia 2000 r.

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

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Bruzda J.

FindEcon Monograph Series : advances in financial market analysis

2006

nr 2 Financial markets : principles of modeling forecasting and decision-making

183-205

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)