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• W1966278301 abstract "The relationship between the Australian equity index futures and spot prices is examined. Tests indicate that futures prices with one, two and three months to maturity are unbiased predictors of the spot and hence provide an efficient hedging mechanism for Australian equity index market participants, while six-, nine- and twelve-month futures prices are biased predictors of spot prices, indicating that speculative opportunities may exist in futures contracts for these time spreads. An analysis of the short-run dynamic properties of the long-run equilibrium relationship found that for all time spreads the futures prices respond to changes in the long-run equilibrium, and for the twelve-month contract, both futures and spot prices adjust to return to the long-run equilibrium." @default.
• W1966278301 created "2016-06-24" @default.
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• W1966278301 creator A5017776773 @default.
• W1966278301 date "2004-04-05" @default.
• W1966278301 modified "2023-09-26" @default.
• W1966278301 title "Examining the Forward Pricing Function of the Australian Equity Index Futures Contract" @default.
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• W1966278301 hasPublicationYear "2004" @default.
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