Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract

This research analysed four important issues relating to the efficiency of futures market, namely pricing characteristics, informational role, arbitrage efficiency and hedging performance of two important derivative products namely crude palm oil futures (CPO) and stock index futures contracts (S...

Full description

Saved in:

Bibliographic Details
Main Author:	Chowdury, Taufiq Hassan Shah
Format:	Thesis
Language:	English English
Published:	2001
Subjects:	Futures market - Malaysia. Stock index futures - Malaysia.
Online Access:	http://psasir.upm.edu.my/id/eprint/7944/1/GSM_2001_14_.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-upm-ir.7944
record_format	uketd_dc
spelling	my-upm-ir.79442023-11-22T03:29:11Z Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract 2001 Chowdury, Taufiq Hassan Shah This research analysed four important issues relating to the efficiency of futures market, namely pricing characteristics, informational role, arbitrage efficiency and hedging performance of two important derivative products namely crude palm oil futures (CPO) and stock index futures contracts (SIF). Daily data on CPO contracts for the calendar years 1987 through 1998 and 1996 through 1999 for stock index contracts were used. Several hypotheses concerning the pricing behaviour of futures contracts (CPO and SIF) were tested to ascertain whether the pricing behaviour is consistent with theory in the context of an emerging market. The fmding suggests that the pricing behaviour of CPO futures is consistent with theory over the whole period of analysis. And the liquidity increased with volume for the CPO futures. Delivery month does not have any significant impact on price volatility. For stock index futures, the pricing behaviour is not stable over time possibly due to the financial crisis (July 1997 to September 1998) and/or more importantly, due to the learning period effect. The liquidity of this contract did not increase with the increase in volume probably due to the lack of speculators. Excepting in a sub-period (1993-1995), the findings suggest that information is a major determinant of cash price movement of CPO contracts. For stock index futures, significant informational linkages between cash and futures prices is observed only after the financial crisis. There was no informational link between cash and futures markets before the crisis. In terms of arbitrage efficiency, the CPO futures show weak arbitrage activity. Spot volatility reduces the spread between cash and futures though it was not simultaneous while futures volatility does not have an important role in reducing the spread. For stock index futures, spot volatility as well as futures volatility simultaneously reduces the spread in the post crisis period. In the pre crisis period, these contracts showed Futures market - Malaysia. Stock index futures - Malaysia. 2001 Thesis http://psasir.upm.edu.my/id/eprint/7944/ http://psasir.upm.edu.my/id/eprint/7944/1/GSM_2001_14_.pdf text en public masters Universiti Putra Malaysia Futures market - Malaysia. Stock index futures - Malaysia. Graduate School of Management Md. Nassir, Annuar English
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English English
advisor	Md. Nassir, Annuar
topic	Futures market - Malaysia. Stock index futures - Malaysia.
spellingShingle	Futures market - Malaysia. Stock index futures - Malaysia. Chowdury, Taufiq Hassan Shah Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
description	This research analysed four important issues relating to the efficiency of futures market, namely pricing characteristics, informational role, arbitrage efficiency and hedging performance of two important derivative products namely crude palm oil futures (CPO) and stock index futures contracts (SIF). Daily data on CPO contracts for the calendar years 1987 through 1998 and 1996 through 1999 for stock index contracts were used. Several hypotheses concerning the pricing behaviour of futures contracts (CPO and SIF) were tested to ascertain whether the pricing behaviour is consistent with theory in the context of an emerging market. The fmding suggests that the pricing behaviour of CPO futures is consistent with theory over the whole period of analysis. And the liquidity increased with volume for the CPO futures. Delivery month does not have any significant impact on price volatility. For stock index futures, the pricing behaviour is not stable over time possibly due to the financial crisis (July 1997 to September 1998) and/or more importantly, due to the learning period effect. The liquidity of this contract did not increase with the increase in volume probably due to the lack of speculators. Excepting in a sub-period (1993-1995), the findings suggest that information is a major determinant of cash price movement of CPO contracts. For stock index futures, significant informational linkages between cash and futures prices is observed only after the financial crisis. There was no informational link between cash and futures markets before the crisis. In terms of arbitrage efficiency, the CPO futures show weak arbitrage activity. Spot volatility reduces the spread between cash and futures though it was not simultaneous while futures volatility does not have an important role in reducing the spread. For stock index futures, spot volatility as well as futures volatility simultaneously reduces the spread in the post crisis period. In the pre crisis period, these contracts showed
format	Thesis
qualification_level	Master's degree
author	Chowdury, Taufiq Hassan Shah
author_facet	Chowdury, Taufiq Hassan Shah
author_sort	Chowdury, Taufiq Hassan Shah
title	Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
title_short	Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
title_full	Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
title_fullStr	Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
title_full_unstemmed	Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
title_sort	overall performance of malaysian futures market: evidence using crude palm oil and stock index futures contract
granting_institution	Universiti Putra Malaysia
granting_department	Graduate School of Management
publishDate	2001
url	http://psasir.upm.edu.my/id/eprint/7944/1/GSM_2001_14_.pdf
_version_	1794018700077039616

Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract

Similar Items