Stock index futures: theories and international evidence
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London u.a.
Chapman & Hall
1993
|
| Edition: | 1. ed. |
| Series: | The Chapman & Hall series in accounting and finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIII, 432 S. graph. Darst. |
| ISBN: | 0412409402 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Acknowledgements xiii
Preface xiv
Abbreviations xvi
Introduction xxi
1 Stock market indices 1
1.1 The need to measure market wide price movements 1
1.2 Types of stock market index 2
1.3 Computation of stock market indices 4
1.4 Comparison of geometric and arithmetic stock
market indices 5
1.5 Computation of the FT SE 100 index 10
1.6 Some major stock market indices 11
1.7 Problems with stock market indices 11
1.8 Effect of inclusion in an index 17
1.9 Conclusions 19
Appendix l.A: Details of some leading international
stock indices 19
2 Introduction to futures trading 27
2.1 Forward and futures contracts 27
2.2 The mechanics of futures markets 29
2.3 Interpreting the Financial Times daily reports 40
2.4 Payoff from a forward contract 41
2.5 Classification of the trading process 41
2.6 Comparison of forward and futures markets 44
2.7 Some advantages of stock index futures 46
2.8 Betting on futures prices 49
2.9 Conclusions 51
x Contents
Appendix 2.A: Futures contracts traded on
LIFFE (September 1991) 51
3 Futures exchanges 53
3.1 The nature and importance of actual futures markets 53
3.2 The development of financial futures 55
3.3 Existing markets in stock index futures 56
3.4 Empirical study of LIFFE 60
3.5 Conclusions 67
4 Arbitrage and the valuation of stock index futures 69
4.1 Assumptions 69
4.2 Derivation of the no arbitrage condition 70
4.3 Restatements of the no arbitrage condition 74
4.4 The arbitrage process 76
4.5 Early unwinding of an arbitrage position 81
4.6 Delayed unwinding of an arbitrage position 85
4.7 Synthetic futures contracts 90
4.8 Conclusions 90
5 Arbitrage and relaxing the assumptions 91
5.1 Arbitrage in practice 91
5.2 Some practicalities of arbitrage transactions 100
5.3 The assumptions used in deriving the no arbitrage
condition 103
5.4 Conclusions 125
Appendix 5.A: Demonstration of the equality of futures
and forward prices when interest rates are certain 126
Appendix 5.B: The difference between forward and
futures prices 128
Appendix 5.C: No arbitrage conditions with continuous
compounding 130
6 Behaviour of the prices of stock index futures 133
6.1 The basis 133
6.2 Spread trading 146
6.3 Conclusions 154
7 Returns and the risk premium 155
7.1 Definition of returns 155
7.2 Distribution of price changes or returns 158
7.3 The risk premium 162
7.4 Mean variance model of the demand for and
supply of futures contracts 168
Contents xi
7.5 Conclusions 168
Appendix 7.A: The mixture of distributions hypothesis 169
Appendix 7.B: Expression of the security market line
for futures contracts in price levels 170
Appendix 7.C: Mean variance model of the
demand for and supply of futures contracts 171
8 Maturity, price volatility and volume 175
8.1 Measurement of the variables 176
8.2 Price volatility and maturity 179
8.3 Price volatility and volume 187
8.4 Causality between price volatility and volume 191
8.5 Volume and maturity 194
Appendix 8. A: Example of Samuelson s hypothesis 196
Appendix 8.B: Rutledge s counter example 198
9 Market Efficiency 201
9.1 Weak efficiency 201
9.2 Semi strong efficiency 216
9.3 Strong efficiency 218
9.4 Time related anomalies 218
9.5 Conclusions 229
Appendix 9.A: Example of a time trended spot price
but an untrended futures price 229
Appendix 9.B: Evidence on the presence of a weekend
effect in futures returns 230
Appendix 9.C: Evidence on the presence of a weekend
effect in the variance of futures returns 233
10 Hedging 235
10.1 The purpose of hedging 235
10.2 Risk minimization and the portfolio approach 240
10.3 Alternative hedge ratios 242
10.4 Choice of futures contract and cross hedging 244
10.5 Measuring hedge effectiveness 247
10.6 Restatement of the hedge ratio using betas 249
10.7 Hedging many different risky positions 251
10.8 Composite hedges 251
10.9 Generalized hedging 253
10.10 Tail risk and tailing the hedge 254
10.11 Hedging and the value of the firm 257
10.12 Estimation of the risk minimizing hedge ratio 258
10.13 Empirical studies 261
10.14 Conclusions 269
xii Contents
11 The uses of stock index futures by fund
managers 271
11.1 Two basic properties of index futures 271
11.2 Uses of index futures by fund managers 277
11.3 Usage of index futures by fund managers 289
11.4 Other users of index futures 290
11.5 Conclusions 291
12 The design and regulation of futures contracts 293
12.1 Choice of initial and maintenance margins 293
12.2 Liquidity requirements 303
12.3 Price limits 305
12.4 Default risk 308
12.5 Minimum price movement 309
12.6 Contract multiplier 310
12.7 Contract delivery months 311
12.8 Choice of index 312
12.9 Dual listing 313
12.10 Conclusions 314
13 Further topics in index futures 315
13.1 Index futures and share price volatility 315
13.2 Portfolio insurance and share price volatility 336
13.3 Other effects of the existence of index futures 337
13.4 Linkages between equity and futures markets 338
13.5 Conclusions 344
Appendix 13.A: Relative volatility of futures and spot 344
Glossary 347
Problems 361
References 371
Author Index 407
Subject Index 416
|
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| indexdate | 2024-07-09T17:15:05Z |
| institution | BVB |
| isbn | 0412409402 |
| language | English |
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| physical | XXIII, 432 S. graph. Darst. |
| publishDate | 1993 |
| publishDateSearch | 1993 |
| publishDateSort | 1993 |
| publisher | Chapman & Hall |
| record_format | marc |
| series2 | The Chapman & Hall series in accounting and finance |
| spelling | Sutcliffe, Charles M. S. Verfasser aut Stock index futures theories and international evidence Charles M. S. Sutcliffe 1. ed. London u.a. Chapman & Hall 1993 XXIII, 432 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Chapman & Hall series in accounting and finance Aandelen gtt Beurzen (handel) gtt Handel gtt Indexering gtt Stock index futures Aktienindex (DE-588)4141735-5 gnd rswk-swf Termingeschäft (DE-588)4117190-1 gnd rswk-swf Aktienindex (DE-588)4141735-5 s Termingeschäft (DE-588)4117190-1 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005364972&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sutcliffe, Charles M. S. Stock index futures theories and international evidence Aandelen gtt Beurzen (handel) gtt Handel gtt Indexering gtt Stock index futures Aktienindex (DE-588)4141735-5 gnd Termingeschäft (DE-588)4117190-1 gnd |
| subject_GND | (DE-588)4141735-5 (DE-588)4117190-1 |
| title | Stock index futures theories and international evidence |
| title_auth | Stock index futures theories and international evidence |
| title_exact_search | Stock index futures theories and international evidence |
| title_full | Stock index futures theories and international evidence Charles M. S. Sutcliffe |
| title_fullStr | Stock index futures theories and international evidence Charles M. S. Sutcliffe |
| title_full_unstemmed | Stock index futures theories and international evidence Charles M. S. Sutcliffe |
| title_short | Stock index futures |
| title_sort | stock index futures theories and international evidence |
| title_sub | theories and international evidence |
| topic | Aandelen gtt Beurzen (handel) gtt Handel gtt Indexering gtt Stock index futures Aktienindex (DE-588)4141735-5 gnd Termingeschäft (DE-588)4117190-1 gnd |
| topic_facet | Aandelen Beurzen (handel) Handel Indexering Stock index futures Aktienindex Termingeschäft |
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