Hedging effectiveness of the Athens stock index futures contracts

2008 ◽  
Vol 14 (3) ◽  
pp. 243-270 ◽  
Author(s):  
Manolis G. Kavussanos ◽  
Ilias D. Visvikis
Keyword(s):  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures ◽  
Hedging Effectiveness

Stock index futures contracts and separability of returns

1984 ◽  
Vol 4 (1) ◽  
pp. 87-102 ◽  
Author(s):  
Anthony F. Herbst ◽  
Nicholas O. Ordway
Keyword(s):  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures

Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange

2007 ◽  
Vol 10 (04) ◽  
pp. 561-583 ◽  
Author(s):  
Hung-Gay Fung ◽  
Qingfeng "Wilson" Liu ◽  
Gyoungsin "Daniel" Park
Keyword(s):  
Stock Exchange ◽  
Trading Strategies ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures ◽  
Taiwan Stock Exchange ◽  
Market Linkages ◽  
Cointegration Tests ◽  
Causality Tests

Cointegration tests and ex ante trading rules are applied to study cross-market linkages between the Taiwan Index futures contracts listed on the Singapore Exchange and the Taiwan Stock Exchange Capitalization-weighted Stock Index futures contracts listed on the Taiwan Futures Exchange. The exchange rate-adjusted returns of the two futures series do not differ significantly in mean but in variances, and show significant mean-reverting tendencies between them. Our trading strategies are able to generate statistically significant, if economically insignificant, profits, while our Granger causality tests demonstrate that information flows primarily from the Singapore market to the Taiwan market, a result confirming other research.

scholarly journals Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts

2014 ◽  
Vol 2014 ◽  
pp. 1-13 ◽  
Author(s):  
Yufang Liu ◽  
Wei-Guo Zhang ◽  
Rongda Chen ◽  
Junhui Fu
Keyword(s):  
Optimal Solution ◽  
Optimal Number ◽  
Stock Index ◽  
Futures Contracts ◽  
Equivalent Transformation ◽  
Stock Index Futures ◽  
Index Futures ◽  
Proposed Model ◽  
Diversified Portfolio

It is difficult for passive portfolio strategy to manage the long-term exposure of a well-diversified portfolio because stock index futures contracts have a finite life limited by their maturity. In this paper, we investigate the problem of the rollover hedge strategy for the long-term exposure of a well-diversified portfolio. First, we consider the rollover hedge strategy for the well-diversified portfolio when the portfolio is not adjusted during the period. In order to obtain the optimal solution of the proposed model, the auxiliary models are constructed using the equivalent transformation technique. Moreover, dynamic programming is employed to derive the optimal positions of stock index futures contracts for the long-term exposure of the well-diversified portfolio. In addition, we extend the result to the case of the rollover hedge strategy with transaction costs and derive the optimal number of stock index futures contracts.

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