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Granger Сausality between Stocks and Futures on Stocks on Russian Market

Student: Anna Olaeva

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2019

An important economic role of futures markets is as to improve the pricing process and increase the efficiency of the market process. This can be achieved by increasing the liquidity of the market and adding new hedging opportunities. Therefore, the introduction of futures into was followed by empirical studies of their role in the market and their relationship with other instruments. The strongest connection futures have with their underlying assets as the basis of pricing. However, the direction of this relationship is ambiguous: futures as dependent on the underlying asset, it can also influence the latter's trading. To address this issue, researchers used various approaches to find out which of the two assets is influential. The most simple and common is Granger Causality. Most of the research on this topic was conducted on American instruments, which is understandable, considering the development of the US financial market. The first works concerned the S&P 500 index and its futures, which began trading in April 1982. In connection with the spread of futures, research was also conducted in other countries. Recently, several works have been devoted to a causal relationship between instruments in the Chinese financial market. However, studies of this kind have not yet touched the Russian financial market. This work is making such an attempt.

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