Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104881
Authors: 
Merz, Frederic
Year of Publication: 
1994
Series/Report no.: 
Tübinger Diskussionsbeiträge 36
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.
Document Type: 
Working Paper

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