Home  About us  Contact
 

Market Indexes (market + indexes)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Ex Ante Hedging Effectiveness of UK Stock Index Futures Contracts: Evidence for the FTSE 100 and FTSE Mid 250 Contracts

EUROPEAN FINANCIAL MANAGEMENT, Issue 4 2000
Darren Butterworth
Ex ante hedging effectiveness of the FTSE 100 and FTSE Mid 250 index futures contracts is examined for a range of portfolios, consisting of stock market indexes and professionally managed portfolios (investment trust companies). Previous studies which focused on ex post hedging performance using spot portfolios that mirror market indexes are shown to overstate the risk reduction potential of index futures. Although ex ante hedge ratios are found to be characterised by intertemporal instability, ex ante hedging performance of direct hedges and cross hedges approaches that of the ex post benchmark when hedge ratios are estimated using a sufficient window size. [source]

A Bayesian threshold nonlinearity test for financial time series

JOURNAL OF FORECASTING, Issue 1 2005
Mike K. P. So
Abstract We propose in this paper a threshold nonlinearity test for financial time series. Our approach adopts reversible-jump Markov chain Monte Carlo methods to calculate the posterior probabilities of two competitive models, namely GARCH and threshold GARCH models. Posterior evidence favouring the threshold GARCH model indicates threshold nonlinearity or volatility asymmetry. Simulation experiments demonstrate that our method works very well in distinguishing GARCH and threshold GARCH models. Sensitivity analysis shows that our method is robust to misspecification in error distribution. In the application to 10 market indexes, clear evidence of threshold nonlinearity is discovered and thus supporting volatility asymmetry. Copyright © 2005 John Wiley & Sons, Ltd. [source]

Asset Pricing Information in Vintage REIT Returns: An Information Subset Test

REAL ESTATE ECONOMICS, Issue 1 2005
David H. Downs
REIT return data prior to the new REIT era offer important asset pricing information. At issue is whether empiricists should focus attention on returns series covering only the new period. We use a generalized asset pricing and information subset test to disentangle REIT information from information available in several benchmark series. Results indicate that REIT returns are informative about the discounting process during the pre,new-era period. Thus, the distribution of vintage REIT returns is not fully explained by either broad market indexes or from size-based anomalies. This study should be viewed as a useful empirical precedent for those studying REIT data preceding the new REIT era. [source]

FORECASTING STOCK INDEX VOLATILITY: COMPARING IMPLIED VOLATILITY AND THE INTRADAY HIGH,LOW PRICE RANGE

THE JOURNAL OF FINANCIAL RESEARCH, Issue 2 2007
Charles Corrado
Abstract The intraday high,low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high,low range volatility consistently outperforms the other. [source]