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| Author: | Miffre, J. Priestley, R. |
| Title: | Sources of systematic risk in futures and spot markets: a study of market integration |
| Journal: | Journal of Business Finance and Accounting
2000 : SEP-OCT, VOL. 27:7&8, p. 933-952 |
| Index terms: | RISK EVALUATION PRICES |
| Language: | eng |
| Abstract: | This article explains the implications of asset market integration for the decision making process of market participants and tests the integration between futures and spot markets. Integration is investigated with respect to the hypothesis that the sources of systematic risk in futures and spot markets command identical risk premia. While the futures and the spot markets for currencies and equities are integrated, the authors present new evidence that the futures and commodity spot markets are segmented. |
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