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

Öz

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.

Anahtar Kelimeler

• Speculative Efficiency, Futures Markets, Stock Index, ASEAN

Kaynakça

1. Alquist, Ron and Kilian, Lutz (2010), What Do We Learn From The Price Of Crude Oil
2. Futures? Journal of Applied Econometrics, Vol. 25, pp.539-573. Athanasious, Vazakidis (2010), Lead – Lag Relationship between Futures Market and Spot Market, Evidence from the Greek Stock and Derivative Market, International
3. Research Journal of Finance and Economics, Issue 41. Bilson, John F. O. (1981), The Speculative Efficiency Hypothesis, The Journal of
4. Business, Vol. 54, No.3, July, pp. 435-451. Dickey, David A. and Fuller, Wayne A. (1981), Likelihood Ratio Statistics for
5. Autoregressive Time Series with a Unit Root, Econometrica, Vol.49, pp.1057–1072.
6. Fama, Eugene F. (1984), Forward and Spot Exchange Rates. Journal of Monetary Economics, Vol.14, pp.319–338.
7. He, Yanan and Hong, Yongmiao (2011), Unbiasedness and Market Efficiency of Crude
8. Oil Futures Markets: A Revisit. Hull, John C. (2009), Options, Futures, and Other Derivatives. Seventh Edition, United

9. States of America: Pearson Prentice Hall. Ibrahim, Izani and Sundarasen, Sheela Devi D. (2010), Time-Varying Hedging Using the State-Space Model in the Malaysian Equity Market, Jurnal Pengurusan, Vol.31, pp.65
10. Kawamoto, Kaoru and Hamori, Shigeyuki (2011), Market Efficiency Among Futures
11. With Different Maturities: Evidence From The Crude Oil Futures Market, The Journal of Futures Markets, Vol.31, No.5, pp.487–501. Lean, Hooi Hooi, McAleer, Michael and Wong, Wing-Keung (2010), Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach, Energy Economics, Vol.32, pp.979-986.
12. Malliaris, A. G. (1999), Foundations of Futures Markets. Selected Essays, The United
13. States of America: Edward Elgar. McKenzie, Aandrew M. and Holt, Matthew T. (2002), Market Efficiency in Agricultural
14. Futures Markets, Applied Economics, Vol.34, pp.1519-1532.
15. Otto, Sascha (2011), A Speculative Efficiency Analysis of the London Metal Exchange in a Multi-Contract Framework, International Journal of Economics and Finance, Vol.3, No.1; February, pp.3-16.
16. Pattarin, Franscesco and Ferretti, Riccardo (2004), The Mib30 Index and Futures
17. Relationship: Econometric Analysis and Implications for Hedging, Applied Financial Economics, Vol.14, pp.1281–1289.
18. Peroni, Emilio and McNown, Robert (1998), Noninformative and Informative Tests of
19. Efficiency in Three Energy Futures Markets, Journal of Futures Markets, Vol.18, pp.939–964. Phillips, Peter C.B. and Perron, Pierre (1988), Testing for a Unit Root in Time Series
20. Regression, Biometrica, Vol.75, pp.335–346. Switzer, Lorne N., and Khoury, Mario (2007), Extreme Volatility, Speculative Efficiency and the Hedging Effectiveness of the Oil Futures Markets, The Journal of Futures, Vol.27 (1), pp.61-84.
21. Ullrich, Christian (2009), Forecasting and Hedging in the Foreign Exchange Markets,
22. Lecture Notes in Economics and Mathematical Systems, Springer-Verlag Berlin Heidelberg. West, Kenneth D. (1997), Another Heteroskedasticity and Autocorrelation-Consistent
23. Covariance Matrix Estimator, Journal of Econometrics, Vol.76, pp.171–191.