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Author: Kotaro Miwa
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
I present evidence that transactions of the stock futures of a flawed market index cause mispricing in individual stocks. In particular, I analyze whether stocks overweighted on the index are mispriced, especially when market movements driven by futures trading are observed. To detect such movements, I use a qualitative indicator based on daily stock market news and a quantitative indicator based on the intraday lead-lag relationship between the spot and futures markets. I find that overweighted stocks are overpriced (underpriced) when upward (downward) movements driven by futures trading are observed. By contrast, such mispricing is not observed for non-constituent stocks.
Author: Kotaro Miwa
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
I present evidence that transactions of the stock futures of a flawed market index cause mispricing in individual stocks. In particular, I analyze whether stocks overweighted on the index are mispriced, especially when market movements driven by futures trading are observed. To detect such movements, I use a qualitative indicator based on daily stock market news and a quantitative indicator based on the intraday lead-lag relationship between the spot and futures markets. I find that overweighted stocks are overpriced (underpriced) when upward (downward) movements driven by futures trading are observed. By contrast, such mispricing is not observed for non-constituent stocks.
Author: B. Thomas Byrne
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
Author: Neil Hoechlin
Publisher: JNR via PublishDrive
ISBN:
Category : Business & Economics
Languages : en
Pages : 108
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Book Description
WHY SOME PEOPLE ALMOST ALWAYS MAKE MONEY IN FUTURES AND OPTIONS Uncertainty and risk go hand in hand with money-making opportunities. Services, goods, and basic materials will probably undergo major price swings at one time or another during the next 20 years. The markets are volatile, and they will only keep increasing. The chances for sustainable trends that last for decades, and the way the stock market rallied in the ‘80s and ‘90s are now less likely than they were a few years ago. Trading options and futures is not gambling. It is speculating. It is also about gathering information, and making judgment calls on circumstances that are unfolding. Futures and options trading is a process of self-protection, and continuing education. What you will learn in this book The futures markets are resurging. They are also likely to be hot for many years, given the political landscape. The emergence of India and China as economic powers and consumers, and the changing world demographics, and the changing politics in the Middle East are likely to fuel the increasing prominence of these markets. This ebook will introduce you to these markets, and equip you with the necessary tools for: strong”Trading, analyzing, or simply gaining a better understanding of how money works, and impacts your daily life. strong”Getting started in improving your knowledge on how markets work. strong”Learning that time is on your side in bond and stock markets, but your enemy in the futures and options markets. strong”Remembering that measuring your return of money is more important than the return on your money.Investors in the past could afford to buy and hold stocks or mutual funds for a long time. Today, the world calls for a trader. The futures and options markets, despite the high risk involved, offer some of the best profit-making opportunities during volatile times. You need to get ready to work as a trader, a geopolitical analyst, an expert in the oil markets, and a money manager. You will learn to keep up with news on economy, weekly oil supply trends, disruptions in oil supply, weather patterns, and the stock market, both in the micro and macro universe. As a futures and options trader, you need to do the same with your contract. You must also learn to pay attention to time factors, especially the expiration dates and how much time you have left to decide whether to exercise your option. Always remember that successful traders: strong”Design a solid plan, follow it, and make adjustments to fit changing conditionsstrong”See trading as a businessstrong”Are disciplined in both their professional and personal livesstrong”Understand the game they are playing, including the risksstrong”Accept that they will make mistakesstrong”Learn from their mistakesstrong”Never trade without having an exit strategystrong”Never risk money that they cannot afford to losestrong”Never allow a bad trade to result in a margin callYou may see yourself as a dummy in the world of futures and options markets. After reading this ebook, however, you will learn how trading options and futures is done, and how to stay in the game for as long as you want. You will realize that the more knowledge you have, the better you can position yourself in the game, and play with confidence. Download this book now!
Author: A. Loosigian
Publisher: Addison Wesley Publishing Company
ISBN:
Category : Business & Economics
Languages : en
Pages : 264
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Book Description
Author: Courtney D. Smith
Publisher: McGraw-Hill Companies
ISBN: 9780070591080
Category : Business & Economics
Languages : en
Pages : 308
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Book Description
Thorough education in what you need to know to trade effectively in stock index futures -- Trading and Hedging Strategies -- Spreads -- Market Analysis Techniques -- The Trading Plan -- Evaluating the Underlying Index -- Determining Future Trends.
Author: Frank J. Fabozzi
Publisher: Irwin Professional Publishing
ISBN: 9781556231049
Category : Business & Economics
Languages : en
Pages : 446
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Book Description
Essays discuss the risk-return characteristics of stock index futures, trading mechanics, stock market indicators, pricing patterns, program trading, and portfolio management
Author: Sam Thomas
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Futures contracts on stock indices can be subject to imperfect arbitrage-based pricing when the spot quot;goodquot; is not an easily held portfolio. The Kansas City Value Line (KCVL) stock index futures market provides an interesting case study because the spot index was complex and it underwent a change in definition from an equally-weighted geometric index to an equally-weighted arithmetic index for the futures to remain viable. The dynamics of geometric and arithmetic indices differ in their complexity and imply that KCVL(Geometric) futures should be priced using the relatively complex Eytan-Harpaz (1986) model, while KCVL(Arithmetic) futures can be priced using the standard Cost-of-Carry model. Empirical analysis of outright and calendar spread prices reveals that KCVL(Geometric) futures went through three distinct phases of mispricing reflecting considerable confusion in pricing. An intriguing result is that during the second phase lasting four years, traders in the KCVL(Geometric) market appear to have been unaware of the magnitude and importance of the properties of the geometric index. Specifically, the market treated these geometric futures contracts like conventional futures contracts based on physical commodities, and induced quot;efficiencyquot; from the incorrect perspective of the Cost-of-Carry model. A dramatic correction follows in the third quarter of 1986 around the publication of the Eytan-Harpaz model when the market turns efficient from the correct perspective of this new model. Jointly, the results suggest that it is possible for a modern market to succumb to a self-fulfilling prophecy induced by the force of behavior and belief, and be quot;efficientquot; but wrong. Further, it appears that the market did not learn the correct model from trading. The correction occurred, instead, around the time of the publication of the correct model, which could be viewed as a re-interpretation of existing information in a manner that altered the state of knowledge in the market. The evidence suggests also that we may need to draw more on the distinctions among the words information, belief, and knowledge, in our definition of efficiency; information being available need not imply that it will be processed appropriately through trading.
Author: Charles M. S. Sutcliffe
Publisher:
ISBN: 9781861520920
Category : Markets
Languages : en
Pages : 0
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Book Description
The essential handbook for anyone involved in trading these popular derivative instruments. 'Sutcliffe's Stock Index Futures is as thorough a review of the issues relating to index futures as one is likely to find. The author discusses a very broad array of current issues, furnishing in each case a well-written summary of the economic theory as well as a brief review of the relevant literature. The author's articulate treatment of the topics and the ample numerical examples make the book a good primer for anyone interested in index futures. The exhaustive coverage makes the book an instant reference guide for anyone working in the futures area'. Journal of Finance
Author: Professor Lu
Publisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 0
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Book Description
Author: Hai Lin
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
This paper investigates the impact of tightened trading rules on the market efficiency and the price discovery function of Chinese stock index futures in 2015. In contrast with severe criticism of these changes, we do not find empirical evidence that market efficiency and price discovery deteriorated after these rule changes. Using variance ratio and spectral shape test, we find that the Chinese index futures market became even more efficient after the tightened rules came into effect. Furthermore, by employing Schwarz and Szakmary (1994) and Hasbrouck (1995) price discovery measures, we find that the price discovery function, to some extent, became better. This finding is consistent with Stein (2009), who documents that regulations on leverage can be helpful in a bad market state, and Zhu (2014), who finds that price discovery can be improved with reduced liquidity. It also suggests that the new rules may effectively regulate the manipulation behavior of the Chinese stock index futures market during a bad market state, and then positively affect its market efficiency and price discovery function.
