Author: Ming-long Andrew WangPublisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 226
Book Description
The Effects of Index Arbitrage and Margin Requirements on Volatility and Liquidity in Stock and Futures Market
Author: Ming-long Andrew WangPublisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 226
Book Description
The Impact of Trading Restrictions and Margin Requirements on Stock Index Futures
Author: Jianqiang HuPublisher:
ISBN:
Category :
Languages : en
Pages : 22
Book Description
Under the assumption of no arbitrage opportunity, the price of stock index futures should be equal to the spot price of the underlying stock index, excluding capital costs, dividends, and trading costs. However, since stock index futures have been introduced to the Chinese market in 2010, their prices have consistently diverged from their theoretical values in a very significant way. By using an analytical model, we try to provide some explanations as to why this may happen. Our model shows that the divergence of stock index futures prices from their theoretical values may be due to various trading and regulatory constraints, such as position limits and margin requirements, which play significant roles in Chinese markets. This is also consistent with the common belief that the more restrictive trading and regulatory constraints are, the less liquidity and efficient financial markets are, hence the more likely it is that asset prices would deviate from their true values. Our empirical results on two major Chinese market indices, CSI300 and SSE50, validate the results obtained from our analytical model.
Margins & Market Integrity
Author: Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 392
Book Description
Stock Index Futures
Author: Floyd Jerome GouldPublisher:
ISBN:
Category : Stock price indexes
Languages : en
Pages : 48
Book Description
Stock Index Futures and Index Arbitrage in a Rational Expectations Model
Author: Anne Vila WetheriltPublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 52
Book Description
Another Day, Another Collar
Author: James A. OverdahlPublisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 48
Book Description
An Empirical Study of Arbitrage and Volatility Effects
Author: Erin Steven NelsonPublisher:
ISBN:
Category : Program trading (Securities)
Languages : en
Pages : 140
Book Description
"This study investigated the concentration effect induced by Index Arbitrage as a possible source of stock market volatility. Due to the large size of trades required to cover transactions costs, index arbitrage may concentrate the realignment of the stock and futures prices into a very short period of time. The results of this study did not reveal any evidence of a concentration effect causing stock market volatility. These findings supplement the effects found in past studies indicating index arbitrage does not contribute to stock market volatility"--Document.
The Review of Futures Markets
Author: Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 1010
Book Description
The Stock Index Futures Market
Author: B. Thomas ByrnePublisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 380
Book Description
Financial Market Regulatory Reform
Author: United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and FinancePublisher:
ISBN:
Category : Futures market
Languages : en
Pages : 638
Book Description