Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. The specific source of risk...

The purpose of this study is to optimize the stock price forecasting model with meta-innovation method in pharmaceutical companies.In this research, stock portfolio optimization has been done in two separate phases.The first phase is related to forecasting stock futures based on past stock information, which is forecasting the stock price using artificial neural network.The neural network used ...

This thesis proposes an Artificial Neural Network (ANN) enhanced decision support system for financial risk management. The decision support system allows hedgers to maximise their expected return while practising the hedge against financial risks. The importance of the research stems from the fact that it can be used to reduce the risk associated with adverse price movements in the stock marke...

In this paper, based on a description of the four major players of commodity spot and futures markets, we establish a multi-phase equilibrium model of price determination, and then analyze the influence of the entry of a large number of index investors on the risk premium, inventory management, and different traders’ positions of commodity futures. The result shows that, the correlation between...

This study examines the effects on the stock market unitary risk premium and volatility associated with the listing of stock and stock index derivatives in Switzerland. Based on a univariate GARCH (1,1) specification of the stock index variance and a time-varying unitary risk premium representation, we can reject the hypothesis that stock and stock index derivatives listings do not affect the t...

The prices of the option and futures of a stock both reflect the market’s expectation of futures trends of the stock’s price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able to buy (sell) options on one hand, and sell (buy) futures on the other and make risk-free profits. In...

In the absence of market frictions, the cost of carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. We argue that tra...

We examine stock market volatility before and after the introduction of equity index futures trading in twenty-five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country’s index with the world market portfolio. We find that futures trading is related to an increase in conditiona...

This article examines the impact of SGX MSCI Taiwan Index Futures on the volatility of the Taiwan stock market. The empirical work is conducted with the use of weekly stock returns from 1995 to 1998 and by applying an expanded EGARCH model. Our findings show that there is no structural change on either the conditional or the unconditional variance after the introduction of index futures contrac...

As an important financial derivative tool, SIF (stock index futures) gets an indispensable effect in the stock market for investors, including hedging, discovering price and resisting risk. The transaction mode and regulations of SIF are subject to change due to rapid financial products innovation, especially in an emerging market. Therefore, in SIF transaction, one of the essential requirement...