The relationship between the Nasdaq composite index and energy futures markets

dc.contributor.authorGurrib, Ikhlaas
dc.date.accessioned2020-03-01T05:39:28Z
dc.date.available2020-03-01T05:39:28Z
dc.date.copyright2018
dc.date.issued2018
dc.descriptionThis article is not available at CUD collection. The version of scholarly record of this Article is published in Investment Management and Financial Innovations (2018), available online at: https://doi.org/10.21511/imfi.15(4).2018.01.en_US
dc.description.abstractThis paper sheds light on the relationship between the Nasdaq Composite Index and a newly proposed Energy Futures Conditions Index (EFCI). While various financial conditions indices provide information about the financial stability of a country, the existence of an energy condition index, using futures markets, is scarce. Using weekly data over the period 1992-2017, this paper introduces an energy futures index using principal component analysis and test its predictability over the Nasdaq Composite Index. The EFCI captures 95% of the variability inherent in crude oil, heating oil and natural gas futures' total reportable positions. Stability in forecast errors over different lags suggests a one week lag is sufficient to forecast weekly Nasdaq Composite Index. 95% prediction levels support that the estimated model captures actual equity market index values, except for the 2000 technology bubble. Distributions of level data were non-normal, not serially correlated and homoscedastic under the whole sample period, with diagnostics on pre and post technology bubble crisis showing mixed results. While differencing ensured homoscedastic errors in the forecasting model, Granger causality supported non-causality from both energy futures and equity markets, suggesting no evidence of cross market information flows. © Ikhlaas Gurrib, 2018.en_US
dc.identifier.citationGurrib, I. (2018). The relationship between the Nasdaq composite index and energy futures markets. Investment Management and Financial Innovations, 15(4). https://doi.org/10.21511/imfi.15(4).2018.01.en_US
dc.identifier.issn18104967
dc.identifier.urihttp://dx.doi.org/10.21511/imfi.15(4).2018.01
dc.identifier.urihttp://hdl.handle.net/20.500.12519/178
dc.language.isoenen_US
dc.publisherLLC CPC Business Perspectivesen_US
dc.relationAuthor Affiliation: Gurrib, I., Canadian University of Dubai, Dubai, United Arab Emirates
dc.relation.ispartofseriesInvestment Management and Financial Innovations;Vol. 15, no. 4
dc.rightsCreative Commons Attribution 4.0 International License.
dc.rights.holderCopyright : 2018 Ikhlaas Gurrib
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectEnergy futures marketsen_US
dc.subjectEquity marketen_US
dc.subjectNasdaq Composite Indexen_US
dc.titleThe relationship between the Nasdaq composite index and energy futures marketsen_US
dc.typeArticleen_US

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