EFFICIENCY OF ASIA-PACIFIC FUTURES MARKETS: AN EXAMINATION OF NEW ZEALAND AND HONG KONG MARKETS

• 발행기관: People & Global Business Association
• 저자명: Mahendra Raj Allen B Atkins
• 간행물 정보: 『Global Business and Finance Review』Vol.3 No.1, 63~78쪽, 전체 15쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 1998.06.30

영문 초록

This paper investigates the efficiency of the New Zealand and the Hong Kong Index and Index Futures markets using a cointegration and error correction based approach. The data for the study consists of the spot and futures prices for the NZSE40 and the HangSeng indices during 1992-1993. The study finds that the spot and futures markets are cointegrated for both the NZSE40 and the Hang Seng indices. Error correction models indicate an efficient system of information feedback between the Hang Seng spot and futures markets whereas the futures leads the spot markets for the New Zealand data.

목차

Abstract

INTRODUCTION

THEORY

DATA AND METHODOLOGY

TESTS

RESULTS

TESTS FOR COINTEGRATION

TESTS AND CORRECTIONS FOR AUTOCORRELATION

SPECIFICATION OF ERROR CORRECTION MODELS

NEW ZEALAND STOCK EXCHANGE 40 PRICE INNOVATIONS DATA

HANG SENG PRICE INNOVATIONS DATA

ERROR CORRECTION MODEL PARAMETER ESTIMATES

TESTS OF PARAMETER STABILITY

FORECAST EVALUATION

CONCLUSIONS

REFERENCES

BIOGRAPHIES