Detection of Relative Influence of Index Futures Trading and Stock Index Returns

Student: Botikova Anastasiia

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2019

Using standard methodology (vector error correction model and component share model), this paper investigates relative influence of the Moscow Exchange Index and two futures contracts for this index (main and mini futures). The result of the work is the conclusion that between the main futures and the index was not found a long-term relationship. For mini-futures and the Moscow Exchange Index a negative long-term dependence was found, and it was determined that the spot asset has a leading role in price discovery. Also in this work, the impact of the introduction of a mini-futures on the volatility of the return of the stock index and its components was analyzed. The results showed the following: on average for the stocks included in the index volatility decreased, that suggests that the introduction of futures did not have a destabilizing effect on the spot market.

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