On the Effectiveness of the Hang Seng Index Futures Contracts in Hedging the Shanghai B-shares PDF Download

Author: Jack S. K. Chang
Publisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 14

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Author: Carol Ka Lok Chiu
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages :

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Author: David Yee-kai Chan
Publisher:
ISBN:
Category : Derivative securites
Languages : en
Pages : 21

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Author: Patrick (Yiu Hung) Nam
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Yue-Cheong Chan
Publisher:
ISBN:
Category :
Languages : en
Pages : 30

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This paper presents an event study of the trading of Hang Seng Index (HSI) futures contracts on the Hong Kong Futures Exchange (HKFE) after it begins to open fifteen minutes earlier and close fifteen minutes later than the underlying cash market, the Stock Exchange of Hong Kong (SEHK) in November 1998. The empirical results show that the extension of trading hours in the HKFE causes futures traders to shift their orders from other sessions of the day to the first 15-minute trading session preceding the opening in cash market. However, the increase in trading volume during the opening session does not bring any corresponding upsurge in return volatility. Instead, futures returns during the opening session are found to be relatively less volatile than before. In addition, the futures contract opening prices appear to have little change (or even reduction) in pricing errors when compared with the pre-extension period. These observations suggest that trading activities during the extended opening session of the futures market are dominated by the better-informed traders which help to speed up the price discovery process in the market. On the other hand, there are no notable changes in return volatility, trading volume and pricing efficiency in the last 15-minute trading session of the HKFE during the post-extension period.

Author: Xuejing Hou
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 166

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This thesis evaluates the effectiveness of single and composite hedge strategies in hedging the Shanghai and Shenzhen A- and B-share markets during the period from 1 July 1999 to 14 September 2006.

Author: Daniel F. S. Choi
Publisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 20

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Author: Darren Butterworth
Publisher:
ISBN:
Category :
Languages : en
Pages : 30

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This paper provides the first investigation of the hedging effectiveness of the FTSE 100 and FTSE Mid 250 stock index futures contracts using hedge ratios generated within an extended mean Gini framework. This framework provides a robust alternative to the standard minimum variance approach, by distinguishing between different classes of risk aversion and producing hedge ratios that are consistent with the rules of stochastic dominance. The results show that the appropriate hedge ratio varies considerably with the investor's degree of risk aversion and that the EMG approach is capable of being utilized by all classes of risk averse investors, in contrast to the standard minimum variance approach. In addition, the results show strong evidence of a duration effect and support the use of the extended mean Gini approach when cross hedges are involved.

Author: Joseph K. W. Fung
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 24

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Author: Xiaolong Li
Publisher: Springer Nature
ISBN: 9819705231
Category :
Languages : en
Pages : 2095

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