Report on Coskewness and cokurtosis in future market

The paper is about inclusion of four moment’s model, 28 future contracts and nine proxies to explain the return generating process in future market. Inclusion of large range of samples gives wide range of representation thus strengthening the results achieved. Second and third moments are necessary in the achieved result and regression is strongly explained by the inclusion of third and fourth moments. The nine proxies used are six non-weighted index, two weighted index and one all equity index Under Capital Asset Pricing Model (CAPM) has high risk premia in the results achieved. And the Arbitrage Pricing Framework (APT) does not show the importance of risk premia in prices. The usage of various proxies provides us with good result thus ensuring the strength within it. Recent research studies focuses on higher moment skewness and the CAPM model does not provide with price equity returns. Usually analyzing the importance of higher moments will provide with better trading strategies the enabling us to understand the potential of the market. This study helps in providing us the awareness of the return generating process in the market. It also portrays an idea with the established theory that investors having positive choice for the positive skewness with show a negative preference for the fourth moment, if they also have risk repulsion and consistent moment choice. It also argues for the inclusion of skewness and cokurtosis in equity returns as they have a strong effect on traders on future market and they also lead to higher moments. The study also results that both skewness and cokurtosis are in future market. Risk free rate is used to deflate the excess return and to ensure that values are independent and they originate from identically distributed random variable. And here, return