On contango, backwardation, and seasonality in index futures

• Main Authors: Abd Wahab, Mohd Asraf, Mohamad, Azhar, Sifat, Imtiaz
• Format: Article
• Language: English; English
• Published: Inst. Investor Inc. 2019
• Subjects: HG Finance; HG4001 Financial management. Business finance. Corporation finance.
• Online Access: http://irep.iium.edu.my/80163/2/80163_On%20Contango%2C%20Backwardation%2C%20and%20Seasonality_article%20for%20MYRA.pdf; http://irep.iium.edu.my/80163/1/80163_On%20Contango%2C%20Backwardation%2C%20and%20Seasonality_wos.pdf; http://irep.iium.edu.my/80163/; https://jpe.pm-research.com/content/22/2/69

The authors investigate contango and backwardation formations and seasonality traits in Malaysia over 22 years spanning 1995 to 2017. Employing graphical observations and statistical tests, contango and backwardation traits appear through market expectations, seasonality, cost of carry model predict...