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A Test of the Cost of Carry Relationship using 90†Day Bank Accepted Bills and the All Ordinaries Share Price Index

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  • Richard Heaney

    (Department of Commerce, Faculty of Commerce and Economics, University of Queensland, St Lucia QLD 4072.)

Abstract

Cross contract regression analysis provides a framework for testing the statistical fit of the cost of carry model in the financial futures contracts, the 90†Day Bank Accepted Bill Futures contract and the Australian All Ordinaries Share Price Index Futures contract. The interest rate to maturity is a major factor in pricing the ninety day bank accepted bill futures contract consistent with simple cost of carry model yet the cost of carry model provides little explanatory power for the share price index futures contract.

Suggested Citation

  • Richard Heaney, 1995. "A Test of the Cost of Carry Relationship using 90†Day Bank Accepted Bills and the All Ordinaries Share Price Index," Australian Journal of Management, Australian School of Business, vol. 20(1), pages 75-104, June.
    • Handle: RePEc:sae:ausman:v:20:y:1995:i:1:p:75-104
    DOI: 10.1177/031289629502000104
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    References listed on IDEAS

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