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Rolling over stock index futures contracts
Author(s) -
Carchano Óscar,
Pardo Ángel
Publication year - 2009
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20373
Subject(s) - futures contract , econometrics , financial economics , series (stratigraphy) , stock index futures , economics , rollover (web design) , derivative (finance) , index (typography) , stock (firearms) , stock market index , order (exchange) , construct (python library) , mathematical economics , actuarial science , computer science , engineering , finance , stock market , geography , mechanical engineering , paleontology , world wide web , biology , context (archaeology) , archaeology , programming language
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