Abstract

This thesis aims to provide a cognitive and applied framework for the nature and method of pricing Forward and Futures contracts. This study aims to evaluate and compare the Cost of Carry hypothesis and the Risk Premium hypothesis, and to determine the accuracy of each in explaining the prices of Forwards and Futures contracts. This study was prepared based on the descriptive approach, by referring to various literature and applications related to the problem of the study. A standard study was also adopted in which the Johansen method for joint integration was used to ensure the existence of a long-term relationship between the study variables. Then, after estimating the models, the Likelihood Ratio test can be used to test the limitations imposed on the general model. This study concluded that the Cost of Carry hypothesis and the Risk Premium hypothesis explain the prices of Futures contracts on the London Metal Exchange reasonably, but the Cost of Carry hypothesis is better.
Keywords: futures contracts; forward contracts; pricing of futures contracts; cost of carry hypothesis; risk premium hypothesis; likelihood ratio test; London Metal Exchange.

Information

Item Type:	Thesis
Divisions:	» Finance, Comptabilité, Fiscalité et Assurance » Faculty of Economic, Commercial and Management Sciences
ePrint ID:	5387
Date Deposited:	2025-05-14
Further Information:	Google Scholar
URI:	https://www.univ-soukahras.dz/en/publication/article/5387

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