Sources of Return in the Index Futures Markets

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 eq...

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Main Author:	Adam Zaremba
Format:	Article
Language:	English
Published:	University of Finance and Management, Warsaw; Vistula University 2011-06-01
Series:	Contemporary Economics
Online Access:	http://ce.vizja.pl/en/download-pdf/id/209

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spelling	doaj-2c44afae881048ae874f4c32d55c61542020-11-24T23:30:41ZengUniversity of Finance and Management, Warsaw; Vistula UniversityContemporary Economics2084-08452011-06-015219910.5709/ce.1897-9254.12Sources of Return in the Index Futures MarketsAdam ZarembaThe 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 timedependent 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.http://ce.vizja.pl/en/download-pdf/id/209
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Adam Zaremba
spellingShingle	Adam Zaremba Sources of Return in the Index Futures Markets Contemporary Economics
author_facet	Adam Zaremba
author_sort	Adam Zaremba
title	Sources of Return in the Index Futures Markets
title_short	Sources of Return in the Index Futures Markets
title_full	Sources of Return in the Index Futures Markets
title_fullStr	Sources of Return in the Index Futures Markets
title_full_unstemmed	Sources of Return in the Index Futures Markets
title_sort	sources of return in the index futures markets
publisher	University of Finance and Management, Warsaw; Vistula University
series	Contemporary Economics
issn	2084-0845
publishDate	2011-06-01
description	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 timedependent 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.
url	http://ce.vizja.pl/en/download-pdf/id/209
work_keys_str_mv	AT adamzaremba sourcesofreturnintheindexfuturesmarkets
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Sources of Return in the Index Futures Markets

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