SPECULATIVE EFFICIENCY OF STOCK INDEX FUTURES MARKETS: AN ANALYSIS ON THE ASEAN MARKETS

Year 2012, Volume: 4 Issue: 1, 159 - 170, 01.06.2012

Normas Awang İzani Ibrahim Rasidah Mohd Said Saiful Bahri Sufar

Abstract

The capital markets in emerging economies are undergoing rapid transformation
due to the advancement of technological innovations and globalization of the
marketplace. Thus, the risk management measures are extremely important
throughout the financial system. However, the scarcity of derivative instruments
such as futures and options in emerging markets, in addition to the failure to
generate liquidity, have made the emerging economies to be left behind in the
recent development of the world capital markets. While there are a great number
of earlier studies that analyse the efficiency of futures markets in different
countries, there is a lack of research that take into account of the speculative
efficiency of futures markets which argues that futures prices are an unbiased
forecast of the spot prices as well as a crucial part of forecasting techniques. This
paper aims to investigate the speculative efficiency of stock index futures markets
in the ASEAN markets which comprises of Singapore, Malaysia and Thailand by
employing an econometric time series data analysis ranging from January 2000 to
December 2010.

Keywords

Speculative Efficiency, Futures Markets, Stock Index, ASEAN

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