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Rolling over stock index futures contracts

✍ Scribed by Óscar Carchano; Ángel Pardo

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
76 KB
Volume
29
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 28:684–694, 2009

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