Rolling over stock index futures contracts

Abstract

Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions.

Positive feedback trading in stock index futures: International evidence

“…3 However, Carchano and Pardo (2009) show that different rollover date selection criteria generally do not induce significant differences in the distributional characteristics of the resulting stock index futures return series. positions facing falling futures prices during times of bearish market conditions will therefore find it more difficult to meet margin calls than traders with short positions during bullish market periods.…”

Is There a Speculative Bubble in the Price of Gold?

“…6 Note, however, that regardless of the roll criterion applied, we do not expect to find significant differences between the resulting future price time series (Carchano and Pardo (2009)). …”

A combination method for interval forecasting of agricultural commodity futures prices

“…2 Agricultural commodity futures contracts are traded until the 15th of the contract month (or the last business day before the 15th). For each contract, a long and unique price series is constructed using only the data of the nearest futures contract up to its maturity and links it with the following contract on the next day [44]. The sample data are daily interval-valued data of two contracts with different periods and sample sizes, as shown in Table 2.…”