Author: David Yee-kai ChanPublisher:
ISBN:
Category : Derivative securites
Languages : en
Pages : 21
Book Description
The Hedging Effectiveness Measures of the Hang Seng Index Futures Market in Hong Kong
Author: David Yee-kai ChanPublisher:
ISBN:
Category : Derivative securites
Languages : en
Pages : 21
Book Description
Comparison of the Effectiveness of Hang Seng Index Futures and Hang Seng Index-linked Bond for Hedging the Risks of Stock Investment in the Hong Kong Stock Market
Author: Carol Ka Lok ChiuPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages :
Book Description
On the Effectiveness of the Hang Seng Index Futures Contracts in Hedging the Shanghai B-shares
Author: Jack S. K. ChangPublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 14
Book Description
A Study on the Effectiveness of Hedging with Hang Seng Index Futures
Author: Patrick (Yiu Hung) NamThe Efficiency of the Hong Kong Hang Seng Index Futures Market
Author: Daniel F. S. ChoiPublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 20
Book Description
Evaluation of Hedging Effectiveness of Hong Kong and U.S. Stock Index Futures
Author: Man Kit Andy WongPublisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 108
Book Description
The Review of Futures Markets
Author: Volatility, Volume and Pricing Efficiency in the Stock Index Futures Market When the Underlying Cash Market Does Not Trade
Author: Yue-Cheong ChanPublisher:
ISBN:
Category :
Languages : en
Pages : 30
Book Description
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.
Optimal Hedging Strategy in Stock Index Futures Markets
Author: Weijun XuPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In this paper we search for optimal hedging strategy in stock index futures markets. We concentrate on the strategy that minimizes the portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. They are linear regression models that assume time-invariant volatility; GARCH-type models that assume time-varying volatility, Markov regime switching (MRS) regression models that assume state-varying volatility, and MRS GARCH models that assume both time-varying and state-varying volatility. We use both maximum likelihood estimation (MLE) and Bayesian Gibbs-sampling approach to estimate the models in four commonly used index futures contracts: Samp;P 500, FTSE 100, Nikkei 225 and Hang Seng index. We apply risk reduction and utility maximization criterions to evaluate hedging performance of MVHRs estimated from these models. The in-sample results show that the optimal hedging strategy for the Samp;P 500 and the Hang Seng index futures contracts is the MVHR estimated using the MRS-OLS model, while the optimal hedging strategy for the Nikkei 225 and the FTSE 100 futures contracts is the MVHR estimated using the asymmetric-Diagonal-BEKK-GARCH and the asymmetric-DCC-GARCH model, respectively. As in the out-of-sample investigation, the optimal strategy for the Samp;P 500 index futures remains unchanged while the optimal strategy for other futures contracts is different from the in-sample results. The MVHR estimated from the MRS-VECM model perform the best for the Nikkei 225 futures contract. The scalar-BEEK-GARCH model delivers the optimal strategy for both the FTSE 100 and the Hang Seng index futures contracts. Overall the evidence suggests that there is no single model that can consistently produce the best strategy across different index futures contracts. Using a more sophisticated model such as MRS-MGARCH model does not necessarily improve hedging efficiency. However, there is evidence that using Bayesian Gibbs-sampling approach to estimate the MRS models provides investors more efficient hedging strategy compared with the MLE method.
The Intraday Pricing Efficiency of Hang Seng Index Options and Futures Markets
Author: Joseph K. W. FungPublisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 24
Book Description