Study project (MBA)--University of Stellenbosch, 2003. / ENGLISH ABSTRACT: In a rational efficiently functioning market, the price of the share index and share
index futures contracts should be perfectly contemporaneously correlated. According
to the cost of carry model, the futures price should equal its fair value at maturity.
The basis should be equal to the cost of carry throughout the duration of the futures
contract.
However, in practice the cost of carry model is obscured and the basis varies and is
normally not equal to the cost of carry. Reasons for this variability in basis include
the mark-to-market requirement of the futures contract, the differential tax treatment
of spot and futures contracts, as well as the transaction cost of entering into a
contract. Transaction costs are lower for futures contracts than for spot contracts.
This study uses the Chen, Cuny and Haugen (1995) model to examine the
relationship between the basis and volatility of the underlying index and between the
open interest of the futures contract and the volatility of the underlying index. Chen
et al. (1995) predicted that the basis is negatively related to the volatility of the
underlying index and that the open interest is positively related to the volatility of the
underlying index. The study will also test the statement by Helmer and Longstaff
(1991) that the basis has a negative concave relationship with the level of interest
rate. The tests were performed on data from ALSI, FINI and INDI futures contracts.
The sample period was from January 1998 to December 2001.
The results correspond to those obtained by Chen et al. (1995) in that the basis is
negatively related to the volatility of the underlying index. This is true for all the three
indices. The other main prediction of the Chen, Cuny and Haugen (CCH) model
(1995), which is also supported by the study, is that open interest is significantly
related to the volatility of the underlying index. The study also supports the
statement by Helmer and Longstaff (1991) that the there is a highly significant
negative concave relationship between the basis and interest rate. / AFRIKAANSE OPSOMMING: In "n mark wat rasioneel funksioneer, behoort die prys van die aandele-indeks en
aandele-indekstermynkontrakte perfek gekorreleer te wees in tyd. Volgens die
drakostemodel behoort die termynkontrakprys op die vervaldatum gelyk te wees aan
die billike waarde daarvan. Die basis behoort vir die looptyd van die termynkontrak
gelyk te wees aan die drakoste.
In die praktyk word die drakostemodel egter vertroebel en wissel die basis en is dit
gewoonlik nie gelyk aan die drakoste nie. Redes vir hierdie veranderlikheid van die
basis sluit in die waardasie teenoor markprys van die termynkontrak, die belasting
van toepassing op loko- en termynkontrakte, asook die transaksiekoste by die
aangaan van "n kontrak. transaksiekoste vir termynkontrakte is laer as vir
lokokontrakte.
Hierdie studie gebruik die model van Chen, Cuny en Haugen (1995) om die
verwantskap tussen die basis en die volatiliteit van die onderliggende indeks en
tussen die oop kontrakte van die termynkontrak en die volatiliteit van die
onderliggende indeks te ondersoek. Chen et al. (1995) voer aan dat daar 'n
negatiewe verwantskap is tussen die basis en die volatiliteit van die onderliggende
indeks en dat daar "n positiewe verwantskap is tussen die oop rente en die volatiliteit
van die onderliggende indeks. Die studie toets ook Helmer en Longstaff (1991) se
hipotese dat daar 'n negatiewe, konkawe verhouding tussen die basis en die
rentekoersvlak bestaan. Die toetse is uitgevoer op data van ALSI-, FINI- EN INDItermynkontrakte.
Die steekproef was van Januarie 1998 tot Desember 2001.
Die resultate stem ooreen met dié van Chen, Cuny en Haugen (1995) se model
(CCH-model) in dié opsig dat daar "n negatiewe verband is tussen die basis en die
volatiliteit van die onderliggende indeks. Dit geld vir al drie die indekse. Die ander
hoofresultate van Chen et al. (1995), wat ook deur die studie ondersteun word, is dat
daar "n beduidende verband tussen die oop kontrakte en die volatiliteit van die
onderliggende indeks bestaan. Die studie ondersteun ook Helmer en Longstaff(1991) se siening dat daar 'n beduidende, negatiewe, konkawe verhouding tussen
die basis en die rentekoers bestaan.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/53572 |
| Date | 04 1900 |
| Creators | Motladiile, Bopelokgale |
| Contributors | Vd M. Smit, E., Stellenbosch University. Faculty of Economic and Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 65 p. : ill. |
| Rights | Stellenbosch University |
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