Stock index futures
The Empirical Study about Introduction of Stock Index Futures on the Volatility of Spot Market
... 100 index tested a series of econometric model, including unit root test, vector error correction model, the establishment of such GARCH model and found that the introduction of stock index fu- ...
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The Statistical Arbitrage Study of CSI 500 Stock Index Futures Based on Intraday Effect
... This paper chooses the high-frequency yield, trading volume, position, spread and price fluctuation of stock index futures as the research object. The price vo- latility is defined by the highest ...
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Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China
... HS300 stock index futures, and found that stock index futures have a high price discovery ...of stock index futures (IF300, IHS0, IC500) and its spot ...
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Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets
... Taiwan stock and stock index futures ...to futures, whereas risk seekers (convex utility function) prefer futures to ...to futures (spot) when markets move upward ...
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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
... the futures market than in the stock market because hedging via futures involves lower costs than those for ...Taiwan Futures Markets provide daily information about institution trading; the ...
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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 ...Chinese stock and stock index futures markets are insensitive to bad ...
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Research on Price Discovery Function of Stock Index Futures in Chinese Emerging Market
... studies stock index futures of long-term and short-term price discovery mechanism using cointegration test，error correction model and impulse response function based on the Shanghai Shenzhen 300 ...
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Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures
... across stock index futures, which are a prac- tical and more realistic alternative to stock market indices in designing trading ...across stock index fu- tures and across ...
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Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators
... of stock index futures of 6 major Asian ...the stock index futures have been introduced only in the year 2010, our sample period starts in September 2010 and extends until ...
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Relationship Between Spot & Future Closing Prices With Reference To Stock & Index Futures Of Nifty 50 On NSE In India
... India’s stock Index Futures market during 2000 to ...and index futures market, examined the time varying properties of Indian spot and index futures market volatility ...
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Normality of the Stock Index Futures of China
... In this paper, we test the null hypothesis that the prices of stock index futures of China follow a random-walk process. Five hypothesis tests are applied to test the random-walk hypothesis (RWH). ...
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Issues In Stock Index Futures Introduction And Trading Evidence From The Malaysian Index Futures Market
... of stock index futures contracts in ...for stock market crashes and the huge losses incurred in fiascoes such as the Procter & Gamble, Orange County, Metallgeselschaft and Barings ...an ...
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Model Specification for the Estimation of the Optimal Hedge Ratio with Stock Index Futures: an Application to the Italian Derivatives Market
... Of course this cannot be considered a general result and the GARCH model may provide significantly better performance in applications related to other stock index futures. At the same time we believe ...
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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 ...
20
The Complete Guide to Option Strategies. Advanced and Basic Strategies on Stocks, ETFs, Indexes and Stock Index Futures.
... In The Complete Guide to Option Strategies, top-performing commodity trading advisor Michael Mullaney explains how to successfully employ a variety of option strategies, from the most risky--selling naked puts and ...
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Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High Frequency Data
... first index futures launched on China Fi- nancial Futures Exchange (CFFE), the trading volume jumped to the biggest among all ...of index futures in- cludes arbitrage, which makes a ...
6
Margin Exceedences for European Stock Index Futures using Extreme Value Theory
... between futures margins and the settlement costs due to ...of futures returns (Longin, 1999a; Dewachter and Gielens, 1999; Edwards and Neftci, 1988; and Gay et al, ...of futures price changes being ...
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Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey
... spot index and index future contracts might lead to spurious results regarding the direction of lead -lad ...the index may continuously be traded in all time ...spot index price which reflects ...
18
Asymmetry in Spillover Effects: Evidence for International Stock Index Futures Markets
... BRIC stock markets during the period 1995–2006 which includes five crisis ...BRICS stock markets providing evidence from the VAR (1) – GARCH (1, 1) ...
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