This research investigates the hedging effectiveness of stock index futures markets in Malaysia and Singapore by employing various hedge ratio estimation methods, which comprises of the conventional OLS model, VECM, EGARCH and bivariate GARCH. The empirical results indicate that the Kuala Lumpur Futures Index (KLFI) provides higher hedging effectiveness compared to the Straits Times Index (STI)...

The Term Structure of Interest-Rate Futures Prices We derive general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. In this model, the term structure shifts and tilts as the factor rate...

Starting from November 20, 1998, Hong Kong Futures Exchange extends its trading hours of Hang Seng Index Futures (HSIF) by opening 15 minutes earlier in the morning session, and closes 15 minutes later in the afternoon session. The longer trading period of the index futures contracts provides an opportunity for investors to trade on any new information in the absence of the underlying spot mark...