Sources of Return in the Index Futures Markets

Contemporary Economics, Volume 5, Issue 2, pp. 54-71, 2011

18 Pages Posted: 24 Oct 2012

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; Montpellier Business School

Date Written: June 30, 2011

Abstract

The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in the equity futures market, its forecastability, and its dependence on a market segment and development stage. The third part includes an empirical study, which confirms the existence of time dependent and partially predictable risk premium. The research was based on the Polish futures market in the years 2000-2010. The last section of the paper discusses potential implications for the financial market practice and indicates areas for further research.

Keywords: futures, risk premium, forward curve

JEL Classification: G13, G14, G17

Suggested Citation

Zaremba, Adam, Sources of Return in the Index Futures Markets (June 30, 2011). Contemporary Economics, Volume 5, Issue 2, pp. 54-71, 2011, Available at SSRN: https://ssrn.com/abstract=2165748

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

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