Use this URL to cite or link to this record in EThOS:
Title: Essays on the quantitative analysis of Greek futures markets
Author: Floros, C.
Awarding Body: University of Wales Swansea
Current Institution: Swansea University
Date of Award: 2006
Availability of Full Text:
Access from EThOS:
This thesis examines the behaviour of Greek stock index futures market. We focus on various techniques to test several hypotheses. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we employ a variety of econometric models from simple OLS to Bivariate Generalised Autoregressive Conditional Heteroscedasticity (GARCH) as well as VAR models and cointegration method. The first part of this thesis, chapter 3, deals with the volatility modelling of futures prices and their asset prices. Then, we move to the quantitative analysis of market characteristics. Chapter 4 analyses the effect of futures trading on stock market volatility, the Samuelson’s hypothesis and the relationship between returns, volatility and trading volume. Furthermore in Chapter 5 we examine the efficiency of futures markets in Greece. We analyse the relationship between stock index futures prices and spot prices in terms of causality and price discovery. In addition we consider cointegration techniques to test the long-run relationship (co movement) between futures prices and trading volumes. Finally, chapter 6 explores the derivation of hedge ratios and hedging effectiveness. Using several quantitative methods, we further analyse the stock index futures contracts of the ADEX in terms of risk management. Chapter 7 concludes this thesis and proposes future research.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available