Home  About us  Contact
 

International Financial Futures Exchange (international + financial_future_exchange)

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

Kinds of International Financial Futures Exchange

  • london international financial future exchange
    		•

    Selected Abstracts

    Optimal Hedging Ratios for Wheat and Barley at the LIFFE: A GARCH Approach

    JOURNAL OF AGRICULTURAL ECONOMICS, Issue 2 2000
    P. J. Dawson
    Over 100,000 futures contracts for cereals are traded annually on the London International Financial Futures Exchange. The proportion of the spot position held as futures contracts - the hedging ratio - is critical to traders and traditional estimates, using OLS, are constant over time. In this paper, we estimate time-varying hedging ratios for wheat and barley contracts using a multivariate generalised autoregressive conditional heteroscedasticity (GARCH) model. Results indicate that GARCH hedging ratios do change through time. Moreover, risk using the GARCH hedge is reduced significantly by around 4 per cent for wheat and 2 per cent for barley relative to the no hedge position, and significantly by around 0.2 per cent relative to the constant hedge. The optimal, expected utility-maximising, and the risk-minimising hedging ratios are equivalent. [source]

    The Determinants of Implied Volatility: A Test Using LIFFE Option Prices

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2000
    L. Copeland
    This paper presents and tests a model of the volatility of individual companies' stocks, using implied volatilities derived from option prices. The data comes from traded options quoted on the London International Financial Futures Exchange. The model relates equity volatilities to corporate earnings announcements, interest-rate volatility and to four determining variables representing leverage, the degree of fixed-rate debt, asset duration and cash flow inflation indexation. The model predicts that equity volatility is positively related to duration and leverage and negatively related to the degree of inflation indexation and the proportion of fixed-rate debt in the capital structure. Empirical results suggest that duration, the proportion of fixed-rate debt, and leverage are significantly related to implied volatility. Regressions using all four determining variables explain approximately 30% of the cross-sectional variation in volatility. Time series tests confirm an expected drop in volatility shortly after the earnings announcement and in most cases a positive relationship between the volatility of the stock and the volatility of interest rates. [source]

    Hedging foreign currency, freight, and commodity futures portfolios,A note

    THE JOURNAL OF FUTURES MARKETS, Issue 12 2002
    Michael S. Haigh
    Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a time-varying portfolio framework. Foreign exchange futures are by far the most important derivative instrument used to reduce uncertainty for traders. Our results lend support to the decision by the London International Financial Futures Exchange to cease trading the Baltic International Freight Futures Exchange freight futures contract because of its low levels of trading activity that likely resulted from its apparent unattractiveness as a hedging instrument. @ 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1205,1221, 2002 [source]

    Interdependencies between agricultural commodity futures prices on the LIFFE

    THE JOURNAL OF FUTURES MARKETS, Issue 3 2002
    P. J. Dawson
    Interdependencies between commodity prices can arise from the impact of changing macroeconomic variables, from complementarities or substitutabilities between commodities, or from common responses by speculators. Malliaris and Urrutia (1996) found significant linkages between rollover prices of six related agricultural commodities on the Chicago Board of Trade. This article examines interdependencies between futures prices for soft commodities traded on the London International Financial Futures Exchange (LIFFE), calculated using Clark indices. Results show that there are no interdependencies between any two prices; price discovery of one contract provides no information about others. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 269,280, 2002 [source]

    A Note on Estimating Market,based Minimum Capital Risk Requirements: A Multivariate GARCH Approach

    THE MANCHESTER SCHOOL, Issue 5 2002
    C. Brooks
    Internal risk management models of the kind popularized by J. P. Morgan are now used widely by the world's most sophisticated financial institutions as a means of measuring risk. Using the returns on three of the most popular futures contracts on the London International Financial Futures Exchange, in this paper we investigate the possibility of using multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models for the calculation of minimum capital risk requirements (MCRRs). We propose a method for the estimation of the value at risk of a portfolio based on a multivariate GARCH model. We find that the consideration of the correlation between the contracts can lead to more accurate, and therefore more appropriate, MCRRs compared with the values obtained from a univariate approach to the problem. [source]