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DAX Future - Correlation

vaio2010

By vaio2010
in DAX

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vaio2010 Newbie

vaio2010

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Hi guys,

 

I'm currently writing my master thesis about hedge ratio estimation and effectiveness. When modeling the correlation between dax and dax future I found a strange pattern. Until the end of 2005 the correlation varies between 0.8 and 0.97. Since 2006 it is almost constant just below 1. I was wondering if there was a change in the DAX or DAX Future in 2006 that causes this shift.

 

I really appreciate any suggestions!!

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