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An analysis of issues surrounding stock index future contracts: Malaysian evidence

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dc.contributor.authorHashim Jusoh
dc.contributor.supervisorObiyathulla Ismath Bacha
dc.contributor.supervisorAbul Mansur Mohammed Masih
dc.date.accessioned2018-01-11T08:22:32Z
dc.date.available2018-01-11T08:22:32Z
dc.date.issued2017
dc.description.abstractThe derivatives markets in the Asian region have shown significant growth and development since their inception. Similarly, derivatives market in Malaysia and Bursa Malaysia Derivatives have experienced remarkable changes and developments. This study focuses mainly on the stock index futures contract (FKLI) and its relationship with the underlying spot index (FBM KLCI). The FKLI is chosen instead of other permissible futures due to availability of the data and its relevance in the context of fund managers' asset allocation strategy. The FKLI is chosen instead of other permissible futures due to availability of the data and its relevance in the context of fund managers’ asset allocation strategy. Mainly based on intraday data, this study makes an analysis of issues on pricing efficiency, the expiration-day effects on volume and volatility, the lead lag relationship between stock index and stock index futures, in Malaysian derivatives market as a newly advanced emerging market. Based on the underlying assumption that if a mispricing were to arise, unlimited arbitrage trading would trigger the market price back to its theoretical fair value and hedging effectiveness may go down as a result of pricing inefficiency, the first essay investigates the study of pricing efficiency specifically on the extent of mispricing by contract, evolution of mispricing, and mispricing episodes. Daily data based on the cost-of-carry model and 15-minute intraday data based on the basis model are used to address the issue of pricing efficiency. This essay fills the gap by introducing 15-minute intraday data, in addition to a larger time span of daily data. The results show variations in mispricing over time under study and provide valuable information for policymakers and fund managers as the Malaysia markets become more efficient and seem to provide a better avenue to hedge their positions and protect their investment values.en_US
dc.identifier.citationJusoh, H. (2017). An analysis of issues surrounding stock index future contracts: Malaysian evidence (Doctoral dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/2768en_US
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2768
dc.languageEnglish
dc.language.isoengen_US
dc.publisherINCEIFen_US
dc.rights2017. INCEIF
dc.sourceGS
dc.subjectStock indexen_US
dc.subjectStock index futureen_US
dc.subjectHigh frequency intraday dataen_US
dc.subjectMispricingen_US
dc.subjectVolatilityen_US
dc.subjectExpiration-day effectsen_US
dc.subjectLead-lag relationshipen_US
dc.titleAn analysis of issues surrounding stock index future contracts: Malaysian evidenceen_US
dc.typePhDen_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeTheses
ikr.licenseAvailable in physical copy and downloadable format (Call Number: t HG 6043 H348)
ikr.topic.maintopicIslamic capital marketsen_US
relation.isAuthorOfPublication8e8de113-9c2e-4faf-8482-04f179564a0e
relation.isAuthorOfPublication8e8de113-9c2e-4faf-8482-04f179564a0e
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