Teorie krzywych forward na rynku indeksowych kontraktów futures
Theories of forward curves in index futures markets

Summary/Abstract: There are many theories explaining the shapes of forward curves in futures markets. Two of them – the Theory of Rational Expectations and the Hedging Pressure Hypothesis – in author’s view may imply some correlation between a level of basis in index futures markets and future index and futures returns. The paper consists of two parts. In the first section, the author describes the key explanations of forward curves and their potential implications for the index futures markets. The second part encompasses an analysis of Polish market based on listings of WIG20 futures between February 2000 and July 2010. The research mostly confirms the hypotheses about the correlations. The observations in the paper may be of high importance for asset allocation decisions and market risk management processes.

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