scholarly journals Optimal Hedging Strategies of Stock Index Futures Based on the Perspective of Information Asymmetry

2020 ◽  
Vol 10 (02) ◽  
pp. 15-24
Author(s):  
Jianhua Guo
Keyword(s):  
Information Asymmetry ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Hedging Strategies ◽  
Optimal Hedging

Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures

2019 ◽  
Vol 45 (2) ◽  
pp. 240-265
Author(s):  
Yang (Greg) Hou ◽  
Mark Holmes
Keyword(s):  
Minimum Variance ◽  
Jel Classification ◽  
Higher Order ◽  
Stock Index ◽  
Stock Index Futures ◽  
Return Distribution ◽  
Higher Order Moments ◽  
Index Futures ◽  
Hedging Strategies ◽  
Skewness And Kurtosis

Using daily S&P 500 spot index and index futures data, this article examines the effects of conditional skewness and kurtosis parameters of a skew-Student density function on dynamic minimum-variance hedging strategies. We find an important role for autoregressive marginal skewness and joint kurtosis in risk management. While static higher order moments improve reductions in variance of hedged portfolios over the case of normality, the inclusion of an autoregressive component significantly extends these improvements. This occurs in both tranquil and tumultuous periods. Furthermore, when transaction costs are considered, taking into account variations of higher order moments retains the best performance. JEL Classification: G11, G13

scholarly journals The Impact of Stock Index Futures on the Information Environment of Listed Firm: Evidence from Chinese Listed Firms

2018 ◽  
Vol 13 (5) ◽  
pp. 147
Author(s):  
Yinglin Wan
Keyword(s):  
Information Asymmetry ◽  
Information Environment ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Listed Firms ◽  
Probability Of Informed Trading ◽  
Index Future ◽  
The Impact ◽  
New Evidence

We investigate the impact of stock index futures on the information environment of listed firms through the launch of Shanghai-Shenzhen 300 stock index futures (CSI 300 index) as natural experiment on April 16, 2010. We employ difference in difference analysis and apply the PIN indicator (the probability of informed trading) to measure information asymmetry. We found that the CSI 300 index significantly reduce the information asymmetry of CSI 300 companies. For the companies with higher market capitalization, higher turnover rate and higher institutional investor’s rate, the impact of stock index future on the corporate information environment is more significant. The results of this paper provide new evidence for evaluating the impacts of Chinese stock index futures.

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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