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Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor

Author

Listed:
  • Mircea Gabriel Ciolpan

    (University of Financial Banking Faculty of Financial Management)

  • Jenica Popescu

    (University of Craiova Faculty of Economics and Business Administration)

Abstract

The derivatives market is an important barometer for the investments return and the national economy trends. To check the efficiency of the Romanian derivatives market represents a milestone for the professional investor. How information contributed to the futures price represented a guarantee for the investors that the derivatives follow the reality of the economy. As well, we considered that the banking interest rate represented a decisive aspect for making an investment decision. By marking the level of profit for the riskless investment an investor could determine the risk and the necessary return for any other market. The multifactorial regression is an econometrical model suitable for the analysis of the links and dependencies of the above mentioned aspects.

Suggested Citation

  • Mircea Gabriel Ciolpan & Jenica Popescu, 2012. "Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(40), pages 195-204.
    • Handle: RePEc:aio:aucsse:v:3:y:2012:i:40:p:195-204
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    More about this item

    Keywords

    critical; derivatives; futures price; market efficiency; interest rate; multifactorial regression;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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