Mean and variance in the futures market.

Title: Mean and variance in the futures market.
Identifier: AAI9304735
identifier: 9304735
Creator: Shiue, Jenn Yue.
Contributor: Adviser: Harry H. Markowitz
Date: 1992
Language: English
Publisher: City University of New York.
Subject: Economics, Finance | Economics, Theory
Abstract: This paper uses the marking to the market characteristic of future contracts to explain both the normal backwardation theory and the contango theory under the assumption that the Capital Asset Pricing Model works day by day through the lives of futures contracts. We analyze ten consecutive 3-month T-bill futures contracts, starting March 14, 1985 through December 16, 1987. We provide not only evidence of the normal backwardation theory and evidence of the contango theory, but also evidence of both theories in a futures contract. From the efficient portfolio theory of hedging in futures market, the naive speculator is reimbursed in the market only for the amount of systematic risk or basis risk he takes. The large speculator would sacrifice some diversification risk and earn the highest expected abnormal return to compensate for an imperfectly diversified efficient portfolio.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.