A Comment on the Behavior of the Greek Mid-Cap Futures Market

Abstract

This study focuses on the behavior of the futures contract of the Athens FTSE/ATHEXMid40 index. Unlike the large-cap ATHEX20 index, this category includes mid-cap high growth companies whose futures market, however, is characterized by low volume and liquidity. This study offers evidence for the efficient market hypothesis, with the series following a random walk, being cointegrated and having a long-term equilibrium. In the short run, the estimated VECM shows that trading volume and open interest are not significant as explanatory variables. Finally, only a one-way Granger causality relationship is confirmed, from futures to spot, proving the ability of futures to react faster to news.

Keywords: Random walk, unit roots, cointegration, VECM , Granger causality

JEL Classification: C10, G10, G13