This article adopt ¡¨nonlinear cointegrating regression¡¨ model, which was published by Bae and DE Jong in 2007, to conduct related empirical research on one of the pricing theories of futures-Cost of carry theory. Since cost of carry theory is based on the assumption that the market belongs to ¡¨perfect market¡¨, the test for cost of carry theory is accompanied by the test of the efficiency of the market. This article takes Taiwan Stock Exchange Capitalization Weighted Stock Index ¡BTaiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Finance Sector Index as our researching target and the final result exhibits that the cost of carry theory is mostly significant in the future market of Taiwan .

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This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out using three approaches to econometric modeling: a basic VECM for spot and futures prices, a VECM extended with a DCCTGARCH framework to account for the conditional variance-covariance structure for spot and futures prices and a threshold VECM to capture regime-dependent spot-futures price dynamics. Overall, both the basic VECM and the DCC-TGARCH analysis suggest that there are deviations from the cost of carry relationship in the first sub-sample when transactions costs in both markets are relatively high but that the cost of carry relationship tends to be valid in the second sub-sample when transactions costs are lower. This is further confirmed by the evidence of higher conditional correlations between the two markets in the second sub-sample as compared with the first, using the DCC-TGARCH analysis. This implies that the no-arbitrage cost of carry relationship between spot and futures markets is more effectively maintained by index arbitrageurs in the second period when market conditions are closer to perfect market assumptions, and hence the cost of carry model could be more reasonably used as a benchmark for pricing stock index futures. The threshold VECM analysis depicts regime-dependent price dynamics between FTSE100 spot and futures markets and leads to some interesting and important findings: arbitrage may not be practicable under some market conditions, either because it is difficult to find counterparties for the arbitrage transactions, or because there is significant risk associated with arbitrage; as a result, the cost of carry model may not always be suitable for pricing stock index futures. Furthermore, the threshold values yielded from estimating the threshold VECM reflect the average transaction costs for most arbitrageurs that are more reliable and fair than subjective estimations.

Die Entwicklung liberalisierter Strommärkte bis hin zum Handel an Kassa- und Terminbörsen wird anhand der Beispiele der USA, Skandinaviens und Deutschlands dargestellt. Wesentliche Merkmale ausländischer Strommärkte lassen sich auf den seit 1998 liberalisierten deutschen Markt übertragen. Kern der Arbeit ist die Gestaltung eines Preisrisikomanagementkonzeptes für den Strommarkt. In diesem Zusammenhang wird der Cost-of-Carry-Ansatz zur Bewertung von Warentermingeschäften um eine Komponente des thermischen Wirkungsgrades von fossilen Kraftwerken ergänzt und somit eine Übertragbarkeit des Konzeptes auf den Strombereich vorgeschlagen. Da die Kenntnisse der Preisprozesse für das Risikomanagement im Strombereich unverzichtbar sind, wird eine Analyse der Spotpreise an der Leipziger Strombörse durchgeführt.

This dissertation studies the cost of carry relationship and the international dynamics of mispricing, price and volatility in the three Nikkei futures markets - the Osaka Exchange (OSE), the Singapore Exchange (SGX) and the Chicago Mercantile Exchange (CME). Previous research does not fully consider the unique characteristics of the triple-listed Nikkei futures contracts, or the price and volatility dynamics in the three Nikkei futures exchanges at the same time. This dissertation makes a significant contribution to the existing literature. In particular, with a comprehensive new 19-year sample period, this dissertation helps deepen the understanding of the Nikkei spot-futures equilibrium and arbitrage behaviour, cross-border information transmission mechanism, and futures market integration. The first topic of the dissertation is to study the cost of carry relationship, mispricing and index arbitrage in the three Nikkei markets. The standard cost of carry model is adjusted for each Nikkei futures contract by allowing for the triple-listing nature and key institutional differences. Based on this, the economic significance of the Nikkei mispricing is explored in the presence of transaction costs. The static behaviour of the mispricing suggests that it is difficult especially for institutional investors to make arbitrage profits in the OSE and SGX, and that index arbitrage in the CME is not strictly risk-free due to the exchange rate effect. Smooth transition models are used to study the dynamic behaviour of the mispricing in the three markets. The results show that mean reversion in mispricing and limits to arbitrage are driven more by transaction costs than by heterogeneous arbitrageurs in the Nikkei markets. The second topic of the dissertation is to investigate the price discovery process in individual Nikkei markets and across the Nikkei futures markets. With smooth transition error correction models, this dissertation reports the leading role of the futures prices in the pre-crisis period and the leading role of the spot prices in the post-crisis period, in the first-moment information transmission process. Moreover, there is evidence of asymmetric adjustments in the Nikkei prices and volatilities. The cross-border dynamics suggest that the foreign Nikkei markets (the CME and SGX) act as the main price discovery vehicle, which implies the key functions of the equivalent, offshore markets in futures market globalisation. The third topic of the dissertation is to study the volatility transmission process in individual Nikkei markets and across the Nikkei futures markets, from the perspectives of the volatility interactions in and across the Nikkei markets and of the dynamic Nikkei market linkages. This dissertation finds bidirectional volatility spillover effects between the Nikkei spot and futures markets, and the information leadership of the foreign Nikkei markets (the CME and SGX) in the second-moment information transmission process across the border. It further examines the dynamic conditional correlations between the Nikkei markets. The results point to a dramatic integration process with strongly persistent and stable Nikkei market co-movements over time.

Die Entwicklung liberalisierter Strommärkte bis hin zum Handel an Kassa- und Terminbörsen wird anhand der Beispiele der USA, Skandinaviens und Deutschlands dargestellt. Wesentliche Merkmale ausländischer Strommärkte lassen sich auf den seit 1998 liberalisierten deutschen Markt übertragen. Kern der Arbeit ist die Gestaltung eines Preisrisikomanagementkonzeptes für den Strommarkt. In diesem Zusammenhang wird der Cost-of-Carry-Ansatz zur Bewertung von Warentermingeschäften um eine Komponente des thermischen Wirkungsgrades von fossilen Kraftwerken ergänzt und somit eine Übertragbarkeit des Konzeptes auf den Strombereich vorgeschlagen. Da die Kenntnisse der Preisprozesse für das Risikomanagement im Strombereich unverzichtbar sind, wird eine Analyse der Spotpreise an der Leipziger Strombörse durchgeführt.

The risk management within a bank is an important part given its status as a pivotal component within the capital adequency framwork stipluated in the Basel Accords. To proficiently be assessing, monitoring and managing market risk that the bank undertakes is therefore a part of the daily activities at Swedbank. For the majority of the measures and models, the bank is employing a full revaluation approach, implying a revaluation of each position under diverse market conditions specified across various scenarios to estimate risk. Prior to this thesis, Swedbank has been missing the full revaluation approach for the product commodity futures in their portfolio. The commodity futures needs to be treated differently from other futures due to their underlying being a physical product being produced, stored and transported. To help Swedbank being able to calculate and measure a diversified set of risk measures for commodity futures with high accuracy and according to market practise and implement the valuation model with results closest to market practise into their risk system, various valuation models have been replicated and compared in Python. The focus has been on investigating different variations of a model derived from the theory of storage and no arbitrage (Cost of Carry model) as well as a more advanced model developed from a belief of mean reverting short-term prices and an uncertain long-term equilibrium price (Schwartz and Smith Two Factor model). These models were replicated on three different commodity types in Swedbanks portfolio, Wheat, Rapeseed and Gasoil, to determine which valuation model that could estimate prices closest to the real prices on the market. The findings revealed that one variation of the Cost of Carry model could be matched exactly to the mark-to-market price due to the real price being known. The Schwartz and Smith Two Factor model was clearly the second best model, estimating prices very well but not always exactly. The most suited model that could match the price exactly, was chosen to be implemented into the risk system of Swedbank and had identified risk factors as interest rate, exchange rate and underlying spot price. With VaR simulations shifting the chosen risk factors, it could be proved that the commodity futures are traded back-to-back since all positions were offsetting each other. Since Swedbank is an intermediary and the business is about providing access to the market for Swedbanks customers, the back-to-back trading was something that Swedbank assumed but earlier not could prove. Furthermore, the back testing revealed that the special characteristic convenience yield could potentially be considered a risk factor in the future and that it would be relevant if the business model of commodity futures at Swedbank would change. / Riskhanteringen inom en bank är en viktig del med tanke på dess roll som en avgörande komponent inom kapitaltäckningsramverket som föreskrivs i Basel-avtalen. Att noggrant bedöma, övervaka och hantera den marknadsrisk som banken åtar sig är därför en del av de dagliga aktiviteterna på Swedbank. För de flesta åtgärder och modeller använder banken en fullständig omvärderingsmetod, vilket innebär en omvärdering av varje position under olika marknadsförhållanden specificerade över olika scenarier för att uppskatta risken. Innan det här projektet har Swedbank saknat den fullständiga omvärderingsmetoden för produkten råvaruterminer i sin portfölj. Råvaruterminer måste behandlas annorlunda än andra terminer på grund av att deras underliggande är en fysisk produkt som produceras, lagras och transporteras. För att hjälpa Swedbank att kunna beräkna och mäta en diversifierad uppsättning riskmått för råvaruterminer med hög noggrannhet och enligt marknadspraxis samt implementera värderingsmodellen med resultat som ligger närmast marknadspraxis i deras risksystem har olika värderingsmodeller replikerats och jämförts i Python. Fokuset har legat på att undersöka olika variationer av en modell som härstammar från teorin om lagring och inget arbitrage (Cost of Carry-modell) samt en mer avancerad modell som utvecklats från en tro om ett genomsnittligt återgående kortsiktigt pris och ett osäkert långsiktigt jämviktspris (Schwartz och Smith Two Factor-modell). Dessa modeller replikerades för tre olika typer av råvaror i Swedbanks portfölj: Vete, Raps och Gasol, för att avgöra vilken värderingsmodell som kunde uppskatta priser närmast de verkliga priserna på marknaden. Resultaten visade att en variation av Cost of Carry-modellen kunde matchas exakt med marknadsvärdet eftersom det verkliga priset var känt. Schwartz och Smith Two Factor-modellen var tydligt den näst bästa modellen, vilket uppskattade priserna mycket bra men inte alltid exakt. Den mest lämpade modellen som kunde matcha priset exakt valdes för att implementeras i Swedbanks risksystem och hade identifierade riskfaktorer som ränta, växelkurs och underliggande spotpris. Genom VaR-simuleringar som skiftade de valda riskfaktorerna kunde det bevisas att råvaruterminerna handlas back-to-back eftersom alla positioner neutraliserade varandra. Eftersom Swedbank är en mellanhand och affärsmodellen handlar om att ge Swedbanks kunder tillgång till marknaden, var back-to-back-handel något som Swedbank antog men tidigare inte kunde bevisa.  Vidare visade backtestingen att den särskilda karaktären convenience yield eventuellt skulle kunna betraktas som en riskfaktor i framtiden och att detta skulle vara aktuellt om affärsmodellen för råvaruterminer på Swedbank skulle förändras.

Submitted by Cristiane Oliveira (cristiane.oliveira@fgv.br) on 2011-06-03T16:34:52Z No. of bitstreams: 1 66080100279.pdf: 529950 bytes, checksum: 7ee7cb402cee43a4f529ced2c506f67d (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-03T16:45:38Z (GMT) No. of bitstreams: 1 66080100279.pdf: 529950 bytes, checksum: 7ee7cb402cee43a4f529ced2c506f67d (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-03T16:59:47Z (GMT) No. of bitstreams: 1 66080100279.pdf: 529950 bytes, checksum: 7ee7cb402cee43a4f529ced2c506f67d (MD5) / Made available in DSpace on 2011-06-03T17:06:04Z (GMT). No. of bitstreams: 1 66080100279.pdf: 529950 bytes, checksum: 7ee7cb402cee43a4f529ced2c506f67d (MD5) Previous issue date: 2011-02-02 / Este estudo investiga a eficiência de precificação do Ibovespa à vista e futuro. Usando o modelo de custo de carregamento, compara-se o futuro observado com o justo no período de 04/01/2010 a 18/08/2010. Em um mercado eficiente, esses dois preços não podem divergir, pois eventuais diferenças geram oportunidades de arbitragem. O propósito desta dissertação é investigar duas questões: a primeira, se o modelo de custo de carregamento explica a dinâmica de preços observada; a segunda, se existem possibilidades de arbitragem entre os mercados à vista e futuro. A base de dados é composta de dados intradiários de compra e venda do Ibovespa à vista e futuro, calculados em intervalos de um minuto. Verifica-se que o modelo de custo de carregamento não explica o comportamento do mercado e que maiores discrepâncias de preços ocorrem longe do vencimento. Considerando-se custos de transação e prêmio de risco, existem inúmeras possibilidades de arbitragem no mercado, principalmente na operação que o mercado denomina como 'reversão'. / This study investigates the price efficiency of the spot and futures Ibovespa index. Using the cost of carry model, the “fair” price is compared to the actual price from 04/01/2010 to 18/08/2010. In an efficient market those prices cannot be different because they would lead to arbitrage opportunities. The purpose of this work is to answer two questions: first, if the cost of carry model can explain the market dynamics; second, if there are arbitrage opportunities between spot and future markets. The data set contains intraday bid and ask quotes for the Ibovespa spot and futures calculated every one minute. The findings suggest that the cost of carry model does not explain the market dynamics and that most of the arbitrage opportunities occur far from the maturity of the contract. Considering transaction costs and risk premium, there are many arbitrage opportunities, especially in an operation called “reversion”.

我國公債期貨市場發展至今，市場流動性未能有效提振，本文將針對此問題嘗試從市場結構、實務狀況、相關學理等各方面，探討諸多可能的影響因素，並加以分析研究，找出問題的癥結以提供解決之道。此外，本文亦從問券調查的結果中，歸納出市場參予者對現行公債期貨的看法，希冀能作為台灣期貨交易所未來商品規劃之參考。 / Since the Taiwan government bond futures trade, the market is lack of liquidity during the year. For the problem, this paper considers the layers of market structure, trading convention and relative theories, try to analysis the causes of less liquidity and resolve the liquidity problem. On the other hand, by making the survey this paper sums up the opinions from the participants of the bond futures market. This paper, which could help the Taiwan Futures Exchange in designing other interest rate derivatives, will wish to give some useful reference.