Abstract:
This Thesis Study has been conducted on Malaysian Futures Index Market.
But the findings, analysis and conclusions derived are applicable to all commodity
futures index markets. Since impact of liquidity has been researched previously as
well for other exchanges, I have added another variable of volatility and derived the
impact analysis of both variables on a financial ratio called as Return on Investment
or ROI.
Methodology involved includes use of VAR or Vector Auto-Regression
models of Microsoft Excel Sheet Application. A vector methodology has been used,
as data is multi-period or over a span of time period where each time period can be
called as one vector for the underlying models of Microsoft Excel Sheet
Application. These models automatically pick data from highlighted vectors/time
periods and compute regression and correlation results. Correlation Analysis has
also been conducted along with ‘skewness’ calculations for each data set to
support thesis analysis claims and general raw data integrity.
Study limitations like law and order, macro and micro economic conditions
have also been covered in study limitations section and explained for as to why
these factors were not considered for thesis analysis.
Future research has been suggested on the Risk Analysis of Futures Index
Market. The recommendation made requires individual company’s futures portfolio
data for any futures index or to put simply risk portfolio be related in terms of
impact on returns from such securities portfolio. Then an annual averaging of
results from such risk portfolio be linked and analyzed in terms of impact on
averaged annual returns for individual companies and also compare it with any
futures main index net risk portfolios data. Thereby, helping to analyze impact of
overall risk behavior for any futures index on returns from such futures indices.
