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The Lead Lag Relation Between Spot And Futures Markets Under Different Short Selling Regimes
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Book Synopsis The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes by : Joseph K. W. Fung
Download or read book The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes written by Joseph K. W. Fung and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the lead-lag relation between index futures and the underlying index under three types of short-selling restrictions on stocks in Hong Kong. Our results indicate that lifting short-selling restrictions can enhance the informational efficiency of the stock market relative to the index futures. We also investigate the impact of two market characteristics, market conditions and the magnitude of mispricing on the lead-lag relations under different short-selling regimes. Our findings suggest that if we remove restrictions, the contemporaneous price relation between the futures and cash markets becomes stronger particularly in the falling market and when the cash market is relatively overpriced.
Book Synopsis Lead-lag Relationship Between Spot and Futures Markets Under Different Short-selling Regimes by : Joseph K. W. Fung
Download or read book Lead-lag Relationship Between Spot and Futures Markets Under Different Short-selling Regimes written by Joseph K. W. Fung and published by . This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Lead Lag Relationship Between Spot and Futures Markets In the Energy Sector by :
Download or read book The Lead Lag Relationship Between Spot and Futures Markets In the Energy Sector written by and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Book Synopsis Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets by : Ersan Ersoy
Download or read book Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets written by Ersan Ersoy and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.
Book Synopsis A Further Investigation of the Lead-Lag Relationship in Returns and Volatility Between the Spot Market and Stock Index Futures by : Sotirios Karagiannis
Download or read book A Further Investigation of the Lead-Lag Relationship in Returns and Volatility Between the Spot Market and Stock Index Futures written by Sotirios Karagiannis and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE/ASE-20 futures and the underlying FTSE/ASE-20 cash index of the Athens Stock Exchange. The results suggest that there is a bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an effect on futures market volatility, and vice versa. Nevertheless, the volatility spillover from spot to futures market is slightly stronger than in the reverse direction.
Book Synopsis Relationship Between Spot and Futures Prices by : Rajni Kant Rajhans
Download or read book Relationship Between Spot and Futures Prices written by Rajni Kant Rajhans and published by . This book was released on 2015 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In developed financial markets, there is no dearth of literature on relationship between spot and future market. India, in the year 2000 introduced derivative market to provide risk mitigation mechanism to market participants. The present study concluded that there is no short-run relationship between Nifty 50 Index and Nifty 50 Futures Index while there is a long-run relationship between the two. The combined analysis of outputs of Granger Causality and Johansen co-integration provided a more rational justification and can be interpreted that possibly at a time of high volatile market when price discovery is not more on rational basis but rather on other spill-over, a short-run lead-lag relationship could not be observed between spot stock index and futures index. However, in long-run the volatility dies away and market returns back to fundamental factors and hence, there is evidence of long-run relationship between spot stock index and futures index.
Book Synopsis The Relationship Between Spot and Futures Prices in Stock Index Futures Markets by : David Michael Modest
Download or read book The Relationship Between Spot and Futures Prices in Stock Index Futures Markets written by David Michael Modest and published by . This book was released on 1982 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Relationship Between Futures Market Speculation and Spot Market Volatility by : Xuemei Xiao
Download or read book The Relationship Between Futures Market Speculation and Spot Market Volatility written by Xuemei Xiao and published by . This book was released on 2018 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the relationship between speculation in futures markets and expected and unexpected volatility in the spot markets for 21 different commodities. I use the index of adequate speculation, INDADSP, and the index of excess speculation, INDEXSP, developed and estimated by Shanker (2017), to capture the degree of speculation required to meet hedging demand, and the degree of speculation in excess of hedging demand, respectively. For comparison, I also use Working's (1960) speculative index T, as a measure of speculation. I estimate the expected volatility (EV) and unexpected volatility (UEV) of the spot market using a GARCH model. The empirical results indicate that the GJR-GARCH model with a Student's t distribution for the error term is the most appropriate model, among the GARCH-family of models, to capture the volatility of 17 of the 21 spot commodity returns. However, the results of feeder cattle indicate the exists of serial correlation of the residuals for all three GARCH model I used, so I drop it and do the further analysis for the rest of 20 commodities and financial contracts. For each commodity, I create time series of matched weekly indices of speculation, expected volatility and unexpected volatility. Next, I investigate the long-run and short-run relationships between volatilities and speculation using an autoregressive distributed lag model. The results indicate that there is a long term relationship between expected and unexpected volatility and the speculative indices, for all commodities, except the Euro, Eurodollar, and U.S. T-bond, and a short term relationship between volatilities and speculation for all commodities. Finally, I apply the Toda-Yamamoto test to investigate the causal relationship between speculation in futures markets and volatility in spot markets. I find that speculation tends to lead expected volatility more than unexpected volatility for the majority of commodities/financial assets. Expected volatility, rather than unexpected volatility, tends to lead speculation for a majority of commodities/financial assets. There is a bidirectional causality between expected volatility and INDADSP, INDEXSP, and T and between unexpected volatility and INDEXSP for several different commodities and financial assets. However, there is no bidirectional causality between unexpected volatility and the speculative indices INDADSP and T for all 20 commodities/financial assets.
Book Synopsis Stock Futures of a Flawed Market Index by : Kotaro Miwa
Download or read book Stock Futures of a Flawed Market Index written by Kotaro Miwa and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present evidence that transactions of the stock futures of a flawed market index cause mispricing in individual stocks. In particular, I analyze whether stocks overweighted on the index are mispriced, especially when market movements driven by futures trading are observed. To detect such movements, I use a qualitative indicator based on daily stock market news and a quantitative indicator based on the intraday lead-lag relationship between the spot and futures markets. I find that overweighted stocks are overpriced (underpriced) when upward (downward) movements driven by futures trading are observed. By contrast, such mispricing is not observed for non-constituent stocks.
Book Synopsis A Trading Strategy Based on the Lead-Lag Relationship between the Spot Index and Futures Contract for the Ftse 100 by : Chris Brooks
Download or read book A Trading Strategy Based on the Lead-Lag Relationship between the Spot Index and Futures Contract for the Ftse 100 written by Chris Brooks and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the lead-lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using ten-minutely observations from June 1996-1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.
Book Synopsis The Role of the Temporary Component in Spot Prices in the Revision of Expected Future Spot Prices by : Hyung Cheol Kang
Download or read book The Role of the Temporary Component in Spot Prices in the Revision of Expected Future Spot Prices written by Hyung Cheol Kang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It is frequently argued that foreign investors have extrapolative expectations due to their informational disadvantages. That is, absent other sources of information, foreigners revise their expectations on the future price of a domestic stock more in line with its current price change than do domestic investors. In this paper, we analytically show that foreigners might respond more to a price change because they pay relatively less attention to a temporary component in price -- i.e., because they are more well-informed. We confirm this hypothesis with a simple yet powerful test that is designed by the identification schemes arising directly from the nature of a temporary component and by the access to a direct measure of the investor's expectation, namely, the quote for futures contracts. After controlling for the temporary component effect and using the lead-lag relationship between the spot and futures markets, we show that foreign investors are indeed most well-informed, whereas domestic individuals are at the other end with the most extrapolative expectations. Finally, domestic institutions are largely indistinguishable from foreigners but are noticeably different from domestic individuals.
Book Synopsis The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices by : Alex Frino
Download or read book The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices written by Alex Frino and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we consider the impact of the introduction of LIFFE CONNECT on the lead-lag relationship between the FTSE100 index and its futures. In general, the results of this study suggest that the move to screen trading strengthens the simultaneity of price discovery in the cash and futures markets and lessens the existence of a lead-lag relationship. This evidence differs to that of the previous literature which has generally found a strengthening of the lead of the futures market to the cash market. The reason for this difference in results is most likely a reflection of the fact that the cash market was generally floor traded in the previous literature, while in this study the FTSE100 was screen traded.
Book Synopsis Lead - Lag Relationship Between Spot and Futures Market of Indian Metal Commodity Market by : Velmurugan Palaniappan Shanmugam
Download or read book Lead - Lag Relationship Between Spot and Futures Market of Indian Metal Commodity Market written by Velmurugan Palaniappan Shanmugam and published by . This book was released on 2017 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examined the lead-lag relationship between the futures market and spot market for the metal commodity market during the sample period January 2010 through August 2014. The econometric tools like Unit root tests, Johansen co-integration test and Pairwise Granger Causality tests were employed in the study. The Augmented Dickey Fuller tests and Phillips-Perron tests employed in the study proved that both the selected metals markets were stationary series, Johansen co-integration test proved selected metals spot and future markets are co-integrating each other and the Granger Causality test proved uni-causality relationships among these markets between spot and future market return series during the study period.
Download or read book Business Periodicals Index written by and published by . This book was released on 2001 with total page 2806 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Relative Effectiveness of Spot and Derivatives Based Intervention by : Milan Nedeljkovic
Download or read book The Relative Effectiveness of Spot and Derivatives Based Intervention written by Milan Nedeljkovic and published by International Monetary Fund. This book was released on 2017-01-24 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a significant link between both modes of intervention and the first two moments of the real/dollar exchange rate. As predicted by theory for the case of negligible convertibility risk, the impact of spot market intervention in our baseline sample is strikingly similar to that achieved through futures based intervention worth an equivalent amount in notional principal.
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
