The development of the GKO futures market in Russia

This study analyzes two issues related to the GKO futures market in Russia in 1996 and 1997. First, we evaluate the existence of a risk premium in this market. We show its existence providing a functional form for the premium. The main result is that risk premium depends positively on the time befor...

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Bibliographic Details
Published inEmerging markets review Vol. 2; no. 1; pp. 1 - 16
Main Authors Peresetsky, A, Turmuhambetova, G, Urga, G
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.03.2001
Elsevier
SeriesEmerging Markets Review
Subjects
emerging markets
Futures market
investments
Kalman filter
Time series
Transition economies
uncertainty
Russia
C22
G20
Kalman filter
Futures market
Transition economies
Time series
P20
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Summary:This study analyzes two issues related to the GKO futures market in Russia in 1996 and 1997. First, we evaluate the existence of a risk premium in this market. We show its existence providing a functional form for the premium. The main result is that risk premium depends positively on the time before delivery of the futures contract. We provide anecdotal evidence in support of our results. Secondly, we study the degree of integration between GKO secondary and futures markets and its evolution over time. There is evidence of such integration, we found that this measure is time-varying and reveals the presence of a structural break in the market integration from April 1997 onwards.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1566-0141
1873-6173
DOI:10.1016/S1566-0141(00)00016-9