The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail

The main objective of this project paper is lo get better understanding on financial futures market activity with reference to the convergence to cash and futures price ion KLSE Composite Index Futures and KLIBOR Futures. This study tens to determine the convergence of cash and sutures price at matu...

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Main Author:	Ismaii, Nazleen
Format:	Thesis
Language:	English
Published:	2000
Subjects:	Investment capital formation speculation Investment, capital formation, speculation
Online Access:	https://ir.uitm.edu.my/id/eprint/69609/1/69609.pdf
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id	my-uitm-ir.69609
record_format	uketd_dc
spelling	my-uitm-ir.696092022-12-05T07:51:34Z The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail 2000 Ismaii, Nazleen Investment, capital formation, speculation Kuala Lumpur. KLSE The main objective of this project paper is lo get better understanding on financial futures market activity with reference to the convergence to cash and futures price ion KLSE Composite Index Futures and KLIBOR Futures. This study tens to determine the convergence of cash and sutures price at maturity using the basis. From that, the efficiency of the market will be determined Besides that, this study will explore on the arbitraging activity that exists due ion mispricing. The theoretical model of fair value is applied on the monthly basis for Composite index and quarterly basis for KLIPOR in order to establish an arbitrage opportunely. The data of Composite Index prices cover the period from 15 December 1995 to 31 December 1999 and for KLIBOR paces cover iron 1996 to 1999. The landings show that what ire graders experience in practice actuality doesn't really correlate with the theory staled. This statement is made due lo the value of basis between cash and futures whereby the cash and futures prices do not converge at all at maturity. The price discrepancies between cash and futures give an opportunity to an arbitrageur to do arbitrage This study conclude that the prces of cash and luiures do not convergeal malurily as what if Is stated in the theory but the market is still eflicient if the value of the bas1s falls in the stated range and there is also an arbitrage opportunity tor an arbitrageur. 2000 Thesis https://ir.uitm.edu.my/id/eprint/69609/ https://ir.uitm.edu.my/id/eprint/69609/1/69609.pdf text en public degree Universiti Teknologi MARA, Kelantan Faculty of Business Management Ali, Rosalan
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
advisor	Ali, Rosalan
topic	Investment capital formation speculation Investment, capital formation, speculation
spellingShingle	Investment capital formation speculation Investment, capital formation, speculation Ismaii, Nazleen The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail
description	The main objective of this project paper is lo get better understanding on financial futures market activity with reference to the convergence to cash and futures price ion KLSE Composite Index Futures and KLIBOR Futures. This study tens to determine the convergence of cash and sutures price at maturity using the basis. From that, the efficiency of the market will be determined Besides that, this study will explore on the arbitraging activity that exists due ion mispricing. The theoretical model of fair value is applied on the monthly basis for Composite index and quarterly basis for KLIPOR in order to establish an arbitrage opportunely. The data of Composite Index prices cover the period from 15 December 1995 to 31 December 1999 and for KLIBOR paces cover iron 1996 to 1999. The landings show that what ire graders experience in practice actuality doesn't really correlate with the theory staled. This statement is made due lo the value of basis between cash and futures whereby the cash and futures prices do not converge at all at maturity. The price discrepancies between cash and futures give an opportunity to an arbitrageur to do arbitrage This study conclude that the prces of cash and luiures do not convergeal malurily as what if Is stated in the theory but the market is still eflicient if the value of the bas1s falls in the stated range and there is also an arbitrage opportunity tor an arbitrageur.
format	Thesis
qualification_level	Bachelor degree
author	Ismaii, Nazleen
author_facet	Ismaii, Nazleen
author_sort	Ismaii, Nazleen
title	The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail
title_short	The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail
title_full	The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail
title_fullStr	The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail
title_full_unstemmed	The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail
title_sort	convergence of futures and cash prices at maturity: experience of klse composite index futures and klibor futures / nazleen ismail
granting_institution	Universiti Teknologi MARA, Kelantan
granting_department	Faculty of Business Management
publishDate	2000
url	https://ir.uitm.edu.my/id/eprint/69609/1/69609.pdf
_version_	1783735897095667712

The convergence of futures and cash prices at maturity: experience of KLSE Composite Index Futures and KLIBOR Futures / Nazleen Ismail

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