A study on market interdependence of futures markets with its underlying assets: analysis on Europe Developed Market (United Kingdom, France, Germany) / Zahirah Hamid Ghul

• Main Author: Hamid Ghul, Zahirah
• Format: Student Project
• Language: English
• Published: 2011
• Subjects: Investment, capital formation, speculation; Stock exchanges. Insider trading in securities
• Online Access: http://ir.uitm.edu.my/id/eprint/31843/1/31843.pdf; http://ir.uitm.edu.my/id/eprint/31843/

There are many research have been conducted in order to investigate the relationship between futures and spot market in Europe countries. This study tries to expand the body of knowledge by investigate the interdependence relationship of futures and spot market in Europe and focus in three countries, United Kingdom, France and Germany. The Single Linear Regression model was applied on the weekly price stock index from 1st January 2005 until 31st December 2010.The index used in this study are FTSE 100 Index for United Kingdom, CAC 40 Index for France, while DAX Index for Germany. The result shows that there is a bidirectional relationship between futures and spot market in these three countries. Bidirectional relationship means existing of lead lag relationship between spot and futures. In some cases futures can lead spot; hence other cases spot can lead futures. Moreover, from the result of this study shows a significant of coefficient in all countries.