Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPE
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • Advanced search
The Journal of Private Equity
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Private Equity

The Journal of Private Equity

Advanced Search

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPE
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

On Contango, Backwardation and Seasonality in Index Futures

Mohd Asraf Abd Wahab, Azhar Mohamad and Imtiaz Sifat
The Journal of Private Equity Spring 2019, jpe.2019.1.076; DOI: https://doi.org/10.3905/jpe.2019.1.076
Mohd Asraf Abd Wahab
holds a master of science degree in finance from International Islamic University Malaysia in Kuala Lumpur, Malaysia. mohdasraf@gmail.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence:
Azhar Mohamad
is an associate professor of finance at the Dept of Finance, Kulliyyah of Economics and Management Sciences, International Islamic University in Kuala Lumpur, Malaysia. dr@azharmohamad.asia; m.azhar@iium.edu.my
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: dr@azharmohamad.asia
Imtiaz Sifat
Imtiaz Sifat is an independent researcher based in Kuala Lumpur, Malaysia. imtiaz@sifat.asia
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence:
  • Article
  • Info & Metrics
  • PDF
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial of the PMR platform 

Abstract

The authors investigate contango and backwardation formations and seasonality traits in Malaysia over 22 years spanning 1995 to 2017. Employing graphical observations and statistical tests, contango and backwardation traits appear through market expectations, seasonality, cost of carry model predictions, and index volatility. Unit root, cointegration, and Granger causality tests are employed to assess the existence of long-term relationships between KLCI (cash/spot index) and FKLI (stock index futures) contracts and the direction of the causality relationship. The results are suggestive of cointegration between the futures price index and the spot index in Malaysia. Moreover, a long-run relationship exists between the two variables — a result of backwardation’s predictive ability to find cash market bottoms. Malaysian markets show backwardation in April to June and August, while December is consistently in contango and exhibits moderately high success in the use of a cost-of-carry model in predicting contango and backwardation.

  • © 2019 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
Next
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Private Equity: 23 (1)
The Journal of Private Equity
Vol. 23, Issue 1
Winter 2019
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Private Equity.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
On Contango, Backwardation and Seasonality in Index Futures
(Your Name) has sent you a message from The Journal of Private Equity
(Your Name) thought you would like to see the The Journal of Private Equity web site.
Citation Tools
On Contango, Backwardation and Seasonality in Index Futures
Mohd Asraf Abd Wahab, Azhar Mohamad, Imtiaz Sifat
The Journal of Private Equity Feb 2019, jpe.2019.1.076; DOI: 10.3905/jpe.2019.1.076

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
On Contango, Backwardation and Seasonality in Index Futures
Mohd Asraf Abd Wahab, Azhar Mohamad, Imtiaz Sifat
The Journal of Private Equity Feb 2019, jpe.2019.1.076; DOI: 10.3905/jpe.2019.1.076
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • RELATED LITERATURE
    • DATA DESCRIPTION
    • EMPIRICAL FINDING
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Editor’s Letter
  • Data Visualization Is King
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2019 Pageant Media Ltd | All Rights Reserved | ISSN: 1096-5572 | E-ISSN: 2168-8508

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies