Index futures
Samuelson Effect and Hedging Effectiveness in the CSI 300 Index Futures
... 300 index futures to discuss the Samuelson effect and dissect the hedging results under both time varying volatility and futures ...300 index futures is also found to have a salient ...
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Empirical study on the relationship between market indicator, index futures and index bees
... market index is a number computed to measure and track the value of a portfolio of stocks used to represent the stock ...market index. As trading progresses in the market, the market index value gets ...
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Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey
... 500 Index Futures lead S&P 500 Spot ...500 Index and MMI (Major Market Index) futures returns lead spot index ...and futures markets for MMI and S&P 500 ...that ...
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Volatility Impact of Stock Index Futures Trading A Revised Analysis
... It is a widely held belief among economists, finance experts and policy makers that derivatives pose a threat to financial market stability. The tremendous increase in derivatives trading since the late 1980ies and the ...
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Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash
... index futures. We find no evidence of volatility asymmetry in the A share index and index ...stock index futures markets are insensitive to bad news arising in the past at very ...
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Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets
... To employ the SD tests, in this paper we use data from the Taiwan stock index and its corresponding index futures. First, we apply a test of SD for risk averters developed by Davidson and Duclos (DD, ...
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Derived signals for S & P CNX nifty index futures
... financial futures market in India is relatively ...the futures market maintains returns in relation to the tick ...Nifty Index Futures (hereafter “ Nifty Futures ” or “ Nifty ” ) price ...
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Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High Frequency Data
... CSI300 index futures, and empiri- cally studies the futures-spot ...Chinese index futures market and a logit model is used to investigate the related factors of arbitrage ...CSI300 ...
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PERFORMANCE EVALUATION OF INDEX FUTURES WITH REFERENCE TO COCHIN STOCK BROKERS LTD, KERALA
... of index futures is done based on the underlying assets. Many index futures are available in India It was introduced in the year 2012 in Kerala ...MIDCAP50 index future ...
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FUTURE CLOSING PRICE, TRADING VOLUME AND OPEN INTEREST: EVIDENCE FROM STOCK FUTURES & INDEX FUTURES OF NIFTY 50 ON NSE IN INDIA
... Greek Futures Markets” this paper investigated the contemporaneous and dynamic relationships between trading volume, returns and volatility for Greek index futures(FTSE/ASE-20 and FTSE/ASE Mid 40) ...
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The Empirical Study about Introduction of Stock Index Futures on the Volatility of Spot Market
... stock index futures in our country did not increase the volatility of the spot market, because of the stock index futures itself has a larger market risk, in order to continue to promote the ...
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Re-examining the Expiration Effects of Index Futures: Evidence from India
... the index futures ...market index (Arago and Fernandez, 2002; Stoll and Whaley, 1997; Vipul, ...market index following the rule change in 1987, lesser abnormal Volume was observed during the ...
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Hedge Ratios in South African Stock Index Futures
... Stock index futures contracts can be used to hedge the ...uses futures markets to reduce risk of a cash (spot) market ...a futures contract is very close, the hedge is more ...and ...
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Two Essays in Finance: Analyzing the Value of Cash to U.S. and Non-U.S. Firms and Institutional Trading in Stock Index Futures
... analyze index futures; as stated earlier, we expect considerable hedging activity in the futures market, and therefore the model is well suited for our ...
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Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets
... To employ the SD tests in this paper we use data from the Taiwan stock index and its corresponding index futures. First, we apply a test of SD for risk averters developed by Davidson and Duclos (DD, ...
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Issues In Stock Index Futures Introduction And Trading Evidence From The Malaysian Index Futures Market
... A futures contract would be mispriced if its price deviates from its fair value adjusted for net carrying ...of index arbitrage should keep these deviations to a ...on index futures traded in ...
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Normality of the Stock Index Futures of China
... DOI: 10.4236/jmf.2018.81007 100 Journal of Mathematical Finance test, the normal hypothesis of the index futures market of China is rejected with 5% confidence; meanwhile, in runs and ADF tests, the ...
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The role of media content in explaining the index futures market behaviour: a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New Zealand
... main index futures contracts of Hong Kong Exchanges and Clearing Limited, Bursa Malaysia and Singapore ...trading futures contracts, the trading strategy based on this finding becomes more ...
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Correlates of Index Futures and Spot Index Volatility: A Study of Indian Stock Market
... of Index Futures affects the spot index volatility so as to allay some of the concerns that regulatory agencies, researchers and investing community have about derivatives ...between index ...
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Margin Exceedences for European Stock Index Futures using Extreme Value Theory
... and short positions are in appendix 2. The results indicate a number of characteristics about the risk inherent in futures contracts. For instance, if a very large margin level of fifty percent is imposed, the ...
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