publication . Article . 2009

Rolling over stock index futures contracts

Angel Pardo;
Restricted
  • Published: 06 Apr 2009 Journal: Journal of Futures Markets, volume 29, pages 684-694 (issn: 0270-7314, eissn: 1096-9934, Copyright policy)
  • Publisher: Wiley
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...
Subjects
free text keywords: Economics and Econometrics, Accounting, General Business, Management and Accounting, Finance
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