Unified Test of Causality and Cost of Carry Model : Pricing of the Kuala Lumpur Composite Index Futures Contract
This paper examines the causal relationship and the validity of the cost of carry model for pricing the FBMKLCI futures contracts. The test is carried out over the time period of 3/1/2006 – 30/6/2011 where it is split into two sub periods based on the changes in the index constituents and refresh ti...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25496/ |