Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Futures Markets"
DOI: 10.1002/fut.21838
Abstract: This study analyzes the impact of the VIX futures basis on subsequent S&P 500 index futures returns using quantile regression. The results show that the impact varies with return distributions and that the effect is… read more here.
Keywords: index futures; vix futures; 500 index; futures basis ... See more keywords
Equity index futures trading and stock price crash risk: Evidence from Chinese markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21933
Abstract: Equity index futures are often blamed for exacerbating equity price crash risk although there is little empirical evidence to support the accusation in the literature. We find that Chinese equity index futures trading significantly reduces… read more here.
Keywords: crash risk; equity; equity index; price crash ... See more keywords
Skewness and index futures return
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Futures Markets"
DOI: 10.1002/fut.22112
Abstract: In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of S&P 500 index futures. This result holds after controlling… read more here.
Keywords: index; skewness index; qunzi zhang; futures return ... See more keywords
Asymmetry in spillover effects: Evidence for international stock index futures markets
Sign Up to like & getrecommendations! Published in 2017 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.07.007
Abstract: The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of… read more here.
Keywords: stock index; futures markets; spillover effects; index futures ... See more keywords
Feedback trading in stock index futures: Evidence from South Africa
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.07.065
Abstract: Abstract This study tests whether investors and speculators in stock index futures contracts on the South African stock market use feedback trading strategies. Feedback trading can be destabilizing and impede on the risk mitigation and… read more here.
Keywords: index futures; index; feedback trading; stock index ... See more keywords
Assessing the Profitability of Timely Opening Range Breakout on Index Futures Markets
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DOI: 10.1109/access.2019.2899177
Abstract: This paper presents a timely open range breakout (TORB) strategies for index futures market trading via using one-minute intraday data. We observe that the trading volumes and fluctuations in returns on each one-minute interval of… read more here.
Keywords: tex math; index futures; inline formula; market ... See more keywords
Dynamic Cross-Correlations between Investors’ Attention and CSI300 Index Futures
Sign Up to like & getrecommendations! Published in 2019 at "Fluctuation and Noise Letters"
DOI: 10.1142/s0219477519500226
Abstract: Using search volume on Baidu Index as the proxy for investors’ attention, we investigate the dynamic nonlinear relationship between investors’ attention and CSI300 index futures market. Multifracta... read more here.
Keywords: attention csi300; index futures; investors attention; csi300 index ... See more keywords
Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures
Sign Up to like & getrecommendations! Published in 2019 at "Australian Journal of Management"
DOI: 10.1177/0312896219879974
Abstract: 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… read more here.
Keywords: index futures; order moments; variance; higher order ... See more keywords
Volatility forecasts of stock index futures in China and the US–A hybrid LSTM approach
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DOI: 10.1371/journal.pone.0271595
Abstract: This paper is concerned with the unsolved issue of how to accurately predict the financial market volatility. We propose a novel volatility prediction method for stock index futures prediction based on LSTM, PCA, stock indices… read more here.
Keywords: stock index; index futures; volatility; prediction ... See more keywords