Διερεύνηση της αλληλεπίδρασης μεταξύ των αγορών αξιών και παραγώγων - Η περίπτωση των ανεπτυγμένων αγορών

Ατσαβέ, Σταματική - Μαρία Γ.

Master Thesis

Author

Ατσαβέ, Σταματική - Μαρία Γ.

Date

2014-10-14

Abstract

In an attempt to study the relationships between stock and derivatives markets, we utilized data from the USA and Japan stock exchanges and derivatives markets. Applying Granger methodology to stock and futures indices for the period 1996-2012, it was found that the stock and futures indices of Nikkei affect the stock and futures indices of Dow Jones and vice versa (not only the maximum and minimum price, but also the open and close price). On the other hand, as for the cross relationships between derivative and stock markets, it was found that the futures of Dow Jones are not affected neither by stock index of Dow Jones, nor of Nikkei and vice versa, for both examined periods 1996-2004 and 2004-2012. The same conclusion holds for the corresponding Japanese markets. The above findings, however, should be consciously taken into account, given that Granger’s method provides evidence only for the direction of causality.