Dynamic efficiency and price leadership in the DAX-future and the DAX cash market: An empirical investigation

Frederic Merz

No 36, Tübinger Diskussionsbeiträge from University of Tübingen, School of Business and Economics

Abstract: This paper provides results of an empirical study, adressing both the question of the efficiency of the DAX-fFuture market concerning its risk transfer function and the question of price leadership. For determining the pricing relationship between the futures and the cash market, co-integration analysis and nonlinear least squares estimation methods are applied. Results indicate that the pricing relationship is closely related to the cost-of-carry model and co-integrated. It will be shown that the cash market leads the futures market.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:tuedps:36

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