نتایج جستجو برای: Risk falling stock futures

تعداد نتایج: 1051855  

2015
Xiong Xiong Ding Nan Yang Yang Zhang Yongjie Wei-Xing Zhou

This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market ...

Alireza Farshidpour, Saeid Khalajestani

The purpose of this study was to investigate the relationship between stock futures fall risk with non-transparent financial reporting at three levels of size, efficiency and return on equity, in the period 2010 to 2014 was in Tehran Stock Exchange. The population of the study are all companies listed in Tehran Stock Exchange. Data collected and calculated by using Excel software Eviews 7 been ...

ژورنال: حسابداری مالی 2019

The aim of research is to investigate the effect of information asymmetry on the relationship between geographical location of firm and risk of stock price crash in the Iranian listed companies in Tehran stock exchange. For this Purpose, data of 110 listed companies was gathered and analyzed periodically in 2016. Distance Cosine index was used for geographical location, as the independent varia...

2003
CHRISTOS FLOROS DIMITRIOS V. VOUGAS

This paper examines hedging effectiveness in Greek stock index futures market. We focus on various techniques to estimate variance reduction from constant and time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we employ a variety of models to derive and estimate the effectiveness of hedging. We measure hedging effectiveness usi...

2006
Christos Floros Dimitrios V. Vougas

This paper examines hedging effectiveness in Greek stock index futures market. We focus on various techniques to estimate variance reduction from constant and time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we employ a variety of models to derive and estimate the effectiveness of hedging. We measure hedging effectiveness usi...

2009
Wolfgang BUhler Alexander Kempf

The paper reports the results of an empirical study of the price relation between the German Performance Stock Index, DAX, and DAX futures. An ex-ante arbitrage strategy based on arbitrage signals is analyzed. The data set contains intraday bidand ask futures quotes and index values on a minute by minute basis. It is found that the number and persistence of arbitrage opportunities differs consi...

Journal: :تحقیقات مالی اسلامی 0
مهران محمدی دانشجوی دکتری اقتصاد مالی دانشگاه تربیت مدرس رضا نجار زاده دانشیار دانشکده مدیریت و اقتصاد دانشگاه تربیت مدرس سیدعباس موسویان دانشیار پژوهشکده فرهنگ و اندیشه اسلامی علی صالح آبادی استادیار دانشکده معارف اسلامی و مدیریت دانشگاه امام صادق(ع)

financial derivatives are new instruments through which hedging, investment and arbitrage are done in a modern economy. although the word 'derivative'primarily reminds us of options and futures, the major focus of the equity derivatives industry worldwide is on index derivatives. launching index options and index futures in tehran stock exchange, not only increases financial market de...

2010
David Hirshleifer

This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the reve? nues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is...

2010
XU Yue LIU Zhi Xin

The increasing interest in financial innovation of enterprises has heightened the need for the knowledge of accurate pricing for derivatives in actual discrete-time incomplete market, especially for futures, the most actively traded derivatives in China. Nevertheless, even contingent claim pricing in such markets have few previous researches concentrated on, quite apart from futures. This paper...

2014
N. Awang N. A. Azizan I. Ibrahim R. M. Said

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)...

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