PRICE DISCOVERY IN THE ATHENS DERIVATIVES EXCHANGE: EVIDENCE FOR THE FTSE/ASE-20 FUTURES MARKET
Dimitris Kenourgios ()
Finance from University Library of Munich, Germany
The FTSE/ASE-20 futures market, as the first organised Greek derivatives market, established in August 1999 and its operation rests with the Athens Derivatives Exchange (ADEX) and the Athens Derivatives Exchange Clearing House (ADECH). Cointegration tests are used and an error correction model is developed in order to examine the relationship between price movements of FTSE/ASE-20 three-month futures index and the underlying cash market in Athens Stock Exchange (ASE). Ôhe investigation of its price discovery mechanism has been motivated by the existing paucity of similar research in such newly established (emerging) futures markets and the growing importance of this market for both investors and the Greek capital market. The results show the presence of a bi- directional causality between stock index spot and futures markets, indicating that the newly established ADEX can provide futures contracts that serve as a focal point of information assimilation and fulfil their price discovery.
Keywords: Athens Derivatives Exchange; FTSE/ASE 20 futures contract; Price discovery; Cointegration analysis; Causality (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-ifn
Note: Type of Document - pdf; pages: 26
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0512014
Access Statistics for this paper
More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().