Stock Index FuturesThe 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. |
Contents
Stock Market Indices | |
Introduction to Futures Trading | |
Process | |
Futures | |
Arbitrage and the Valuation of Stock | |
Position | |
of an Arbitrage Position | |
Futures Prices | |
Futures | |
Volatility and Volume | |
Market Efficiency | |
Hedging | |
The Uses of Stock Index Futures by Fund | |
The Design and Regulation of Futures | |
Price Clustering | |
Arbitrage in Practice | |
Transactions | |
Arbitrage and Relaxing the Assumptions | |
at Liquidation | |
PRICES | |
Basis Spreads and the Risk Premium | |
Settlement Price | |
Further Topics in Index Futures | |
Questions | |
Glossary | |
References | |
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Common terms and phrases
arbitrage opportunities arbitrage position arbitrageur asset autocorrelation basis basis risk basket of shares bid-ask spread buying cash computed daily data delivery dividends early unwinding equity estimated exchange FTSE 100 futures FTSE 100 index fund Futures and Options futures contract Futures Markets futures prices futures returns futures trading futures volatility GARCH Hang Seng hedging effectiveness increase index arbitrage index basket index futures markets initial margin interest rate intraday investment investors Journal of Finance Journal of Futures liquidity long position market makers maturity mispricings Nikkei 225 futures no-arbitrage condition NYSE Composite Osaka period portfolio insurance price changes price discovery price limits price movement price volatility profit programme trading reduced regression relationship risk free risk-minimizing hedge ratio riskless S&P500 futures share prices short position short selling spot and futures spot market spot price spot returns spot volatility stock index futures stock market studied transactions costs underpricings variance