Unified Test of Causality and Cost of Carry Model : Pricing of the Kuala Lumpur Composite Index Futures Contract

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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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Bibliographic Details
Main Author:	Lau, Kenny Yee Sheng
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/25496/

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