Price discovery in malaysian stock index futures and cash markets over a period (1995-2006) / Suhaila Rosnan

Rosnan, Suhaila (2007) Price discovery in malaysian stock index futures and cash markets over a period (1995-2006) / Suhaila Rosnan. [Student Project] (Submitted)

Abstract

Many studies have been undertaken on stock index futures and its underlying cash index. Stock index futures provide a very useful trading or risk management tool to a stock portfolio holders. Hence, the aim of this study is to analyze the causal relationship between Malaysian stock index futures and cash markets by employing Granger Causality test. The data used in this study were the daily closing price for both stock index and stock index futures in Malaysia. The data which cover the period from 15 December 1995 to 30 June 2006 were divided into three sub periods in view of variation in activity largely due to the Asian financial crisis. This segmented period is to look at the behaviour of the futures price in relation to the spot price during these three different economic conditions. The result shows during the learning period FKLI Granger cause KLCI, meaning that FKLI lead the KLCI. During the high volatility period FKLI Granger cause KLCI, meaning that FKLI lead the KLCI. Meanwhile during the stable period found that there is bi-directional feedback relationship between the KLCI and FKLI, meaning that the series are causing one and another in both directions.

Metadata

Item Type: Student Project
Creators:
Creators
Email / ID Num.
Rosnan, Suhaila
2005744220
Contributors:
Contribution
Name
Email / ID Num.
Thesis advisor
Misman, Faridah Najuna
UNSPECIFIED
Thesis advisor
Jaafar, Mohd Sukor
UNSPECIFIED
Thesis advisor
Kamaruddin, Juliana Noor
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock price indexes. Stock quotations
Divisions: Universiti Teknologi MARA, Johor > Segamat Campus > Faculty of Business and Management
Programme: Bachelor of Business Administration (HONS) Finance
Keywords: Stock index; Financial crisis
Date: 2007
URI: https://ir.uitm.edu.my/id/eprint/75277
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