Location of Repository

Haltedauern von DAX-Futures-Positionen und die Konzentration auf den Nearby-Kontrakt - Eine empirische und theoretische Analyse

By G. Bamberg, G. Dorfleitner and Augsburg Univ. (Germany). Inst. fuer Statistik und Mathematische Wirtschaftstheorie

Abstract

This paper investigates some aspects of the DAX futures market that rather have been neglected in the past: The concentration on the contract with the nearest expiration date (the nearby contract), the question how long futures contracts are held and the tendency of market participants to unwind futures positions before the expiration date. A main result is that early unwinding takes place on a large scale, while at the same time futures positions are on the average not held very long. Furthermore it is pointed out that the open interest is overestimated by the the daily published data. Eventually a simple stochastic model is developed to explain how the propensity of the investors for early unwinding can lead to a strong concentration on the nearby contract. (orig.)SIGLEAvailable from TIB Hannover: RN 5527(161) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Topics: 12B - Statistics, operations research, DAX FUTURES, NEARBY CONTRACT, EXPIRATION DATE, CONTRACT DEALING, STOCHASTIC MODEL, MATHEMATICAL IMPLICATIONS, EARLY-UNWINDING RATIO
Year: 1998
OAI identifier:
Provided by: OpenGrey Repository
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://hdl.handle.net/10068/18... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.