Διερεύνηση αιτιότητας μεταξύ χρηματοοικονομικών δεικτών και παραγώγων
Research on casuality between stock indices and derivatives
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Χρηματοοικονομικοί δείκτες ; ΠαράγωγαAbstract
In the frame of efficient markets operations, the performance of derivatives and their dependent assets are directly correlated. However, in cases where a market inefficiency exists, the market can easily incorporate the information from other markets, so the former leads the route of the latter. We will investigate the relationship and the correlation lead lag between S&P500 index and the derivatives which are commonly used in it. We will observe the derivatives, their characteristics and at the same time we will analyse S&500 index. We will use EViews software with the purpose of analyzing financial data, the presentation of our results in graphics and the construction of econometric models which can be used so that our research comes to a result.