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Sources of Systematic Risk in Futures and Spot Markets: A Study of Market Integration

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  • Joelle Miffre
  • Richard Priestley

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, we present new evidence that the futures and commodity spot markets are segmented. Such results are of primary importance to investors who use asset pricing models to adjust the risk‐return trade‐off of their portfolio and evaluate portfolio performance.

Suggested Citation

  • Joelle Miffre & Richard Priestley, 2000. "Sources of Systematic Risk in Futures and Spot Markets: A Study of Market Integration," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(7‐8), pages 933-952, September.
    • Handle: RePEc:bla:jbfnac:v:27:y:2000:i:7-8:p:933-952
    DOI: 10.1111/1468-5957.00340
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    Cited by:

    1. Yiuman Tse & Paramita Bandyopadhyay & Yang‐Pin Shen, 2006. "Intraday Price Discovery in the DJIA Index Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1572-1585, November.

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