Efficiency in the Pricing of the Ftse 100 Futures Contract

Posted: 13 Jul 2000

See all articles by Joëlle Miffre

Joëlle Miffre

Audencia Nantes School of Management; Audencia Business School

Abstract

This paper studies the pricing efficiency in the FTSE 100 futures contract by linking the predictable movements in futures returns to the time-varying risk and risk premia associated with prespecified factors. The results indicate that the predictability of the FTSE 100 futures returns is consistent with a conditional multifactor model with time-varying moments. The dynamics of the factor risk premia, combined with the variation in the betas, capture most of the predictable variance of returns, leaving little variation to be explained in terms of market inefficiency. Hence the predictive power of the instruments does not justify a rejection of market efficiency.

Keywords: FTSE 100 Futures Contract, Efficiency, Time-varying Risk, Risk Premia

JEL Classification: G12, G13, G14

Suggested Citation

Miffre, Joelle, Efficiency in the Pricing of the Ftse 100 Futures Contract. European Financial Management, Vol. 7, No. 1, Pp. 9-22, 2001; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=233334

Joelle Miffre (Contact Author)

Audencia Nantes School of Management ( email )

8 route de la Jonelière, BP 31222
Nantes Cedex 3, Cedex 3 44312
France

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

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