A Test of the Cost of Carry Relationship using 90†Day Bank Accepted Bills and the All Ordinaries Share Price Index

Richard Heaney
Additional contact information
Richard Heaney: Department of Commerce, Faculty of Commerce and Economics, University of Queensland, St Lucia QLD 4072.

Australian Journal of Management, 1995, vol. 20, issue 1, 75-104

Abstract: Cross contract regression analysis provides a framework for testing the statistical fit of the cost of carry model in the financial futures contracts, the 90†Day Bank Accepted Bill Futures contract and the Australian All Ordinaries Share Price Index Futures contract. The interest rate to maturity is a major factor in pricing the ninety day bank accepted bill futures contract consistent with simple cost of carry model yet the cost of carry model provides little explanatory power for the share price index futures contract.

Keywords: FUTURES; ARBITRAGE; PRICING MODELS (search for similar items in EconPapers)
Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289629502000104 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:20:y:1995:i:1:p:75-104

DOI: 10.1177/031289629502000104

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().