Thesis (M.S.)--University of Wyoming, 2008. / Title from PDF title page (viewed on Apr. 1, 2010). Includes bibliographical references (p. 40-41).

Thesis (M.Econ..)--University of Hong Kong, 2001. / Includes bibliographical references. Also available in print.

Thesis (Ph. D.)--University of Alberta, 1997. / Includes abstract. Includes bibliographical references (p. 161).

Master-Arbeit Univ. St. Gallen, 2009.

Master-Arbeit Univ. St. Gallen, 2009.

Master-Arbeit Univ. St. Gallen, 2006.

In a perfect market with no limit on arbitrage, the price movements or returns of an index futures contract must be perfectly and positively correlated with those of the underlying cash index and the component stocks of the index. However, transaction costs, capital limits and regulatory restrictions reduce arbitrage efficiency which is being revealed by a wealth of findings that index futures and the underlying cash assets do not move in perfect unison. It is an important issue to practitioners, exchange and regulatory authorities, and academics to understand which and how different market and idiosyncratic factors drive the dynamic temporal relationships between an index futures contract and the related individual cash assets. Chapter 1 of the thesis examines how and to what extent the sampling frequency for return calculation affects the intraday correlation and lead-lag relationship between index futures, the underlying cash index and individual cash assets. Chapter 2 tests how and to what extent index weight, liquidity, idiosyncratic information of a single cash stock, market conditions and regulatory restrictions affect the intraday correlation between the futures and individual cash asset. Following the line of argument in Chapter 2, Chapter 3 analyzes the impact of stock-specific and market factors on the intraday lead-lag relationship between the futures and single cash assets. The study deduces that stock-specific and market factors significantly affect the intraday dynamic relationship between index futures and individual cash assets and it is a phenomenon that could be explained by the optimal strategies adopted by index arbitrageurs.

This tesis deals with modern approchaes in the intraday futures trading. My focus is on the euro-dollar market. I test and analyse three strategies with using current methods of technical analyses. Thanks to results I explain how to use these strategies in practice to the profitable swing trading and respond on the emerging market on a daily basis.

Tato práce srovnává první český burzovně obchodovaný termínový kontrakt, futures na index PX, s dalšími světovými futures kontrakty a analyzuje potenciál úspěšnosti tohoto kontraktu. Tento základ je doplněn informacemi o dalším vývoji a emisích na českém trhu burzovních derivátů. Dále práce shrnuje základní teoretické a praktické znalosti o futures na index se zaměřením na český trh a jeho vývoj. Nejvíce prostoru je věnováno regresní analýze objemů obchodování u futures na index PX a dalších osmi indexových kontraktů v závislosti na čase. Cílem je nalézt standardní regresní funkci, která by popisovala vývoj této závislosti u úspěšných termínových kontraktů na index. Výsledná funkce je následně porovnána s vývojem tohoto atributu právě u futures na index PX. Tato analýza je doplněna podobnou studií u dalších čtyř velice úspěšných futures kontraktů s jiným podkladovým aktivem než je index. Analyzován je také vývoj objemů obchodvání u nově emitovanými futures na akcie společností ČEZ a Erste Bank.

Commodity futures markets are often thought of as good examples of perfectly competitive markets. However, there are many commodities that are produced in concentrated industries and traded on large commodity exchanges. Nickel, aluminum, lead, zinc, tin, oil, and coffee are some examples. This thesis examines the effects of concentrated production on output and prices in these markets. The analysis includes the possibility that firms can trade futures contracts for their output and also store their output. A dynamic model is developed that examines how a duopoly could use futures trading and storage strategically to affect outcomes in subsequent periods. I examine futures trading for a perishable good and storage with no futures trading separately in order to highlight the potential stategic use of these activities on their own. I also analyse a model in which both futures trading and storage are allowed. I show that both futures positions and storage would be used strategically by the duopolists, in contrast to the results of previous work that used two-period models only. By allowing for uncertainty in the form of demand and cost shocks, the solution to the model can be used to provide some implications for correlations among industry level variables. These correlations are examined for the world lead, zinc, and copper industries. Weak support for the model is found, however, estimation of the vector auotregression implied by the model suggests the model in its present form is unable to fit the data very well. / Arts, Faculty of / Vancouver School of Economics / Graduate