The relationship between the Nasdaq composite index and energy futures markets

dc.contributor.author Gurrib, Ikhlaas
dc.date.accessioned 2020-03-01T05:39:28Z
dc.date.available 2020-03-01T05:39:28Z
dc.date.copyright 2018
dc.date.issued 2018
dc.description This 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.abstract This 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.citation Gurrib, 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.issn 18104967
dc.identifier.uri http://dx.doi.org/10.21511/imfi.15(4).2018.01
dc.identifier.uri http://hdl.handle.net/20.500.12519/178
dc.language.iso en en_US
dc.publisher LLC CPC Business Perspectives en_US
dc.relation Author Affiliation: Gurrib, I., Canadian University of Dubai, Dubai, United Arab Emirates
dc.relation.ispartofseries Investment Management and Financial Innovations;Vol. 15, no. 4
dc.rights Creative Commons Attribution 4.0 International License.
dc.rights.holder Copyright : 2018 Ikhlaas Gurrib
dc.rights.uri https://creativecommons.org/licenses/by/4.0/
dc.subject Energy futures markets en_US
dc.subject Equity market en_US
dc.subject Nasdaq Composite Index en_US
dc.title The relationship between the Nasdaq composite index and energy futures markets en_US
dc.type Article en_US
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