The Experts below are selected from a list of 45 Experts worldwide ranked by ideXlab platform
Heather Bell - One of the best experts on this subject based on the ideXlab platform.
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A New Dimension of ETF Investing: ETF Derivatives
2003Co-Authors: Heather BellAbstract:ETF futures and options have not garnered a lot of attention in the past, but as ETFs become more and more widely used, their Derivatives deserve some notice. This article addresses their history and development and their advantages and uses. In comparison to ETFs themselves, ETF Derivatives have lower costs while offering greater flexibility and precision for the purposes of portfolio-related strategies and adjustments. They also can be used in conjunction with ETFs for hedging and arbitrage purposes. In comparison to an Index Derivative, an ETF Derivative mirrors the ETF it is based on far more closely than any Index Derivative that may be based on the same Index as the ETF. Additionally, ETF Derivatives are settled by the physical delivery of shares of the ETFs upon which they are based, while Index Derivatives are cash settled. ETF futures and options represent a new frontier in ETF investment and offer a variety of opportunities and benefits to the investors who include them in their range of investment tools.
Xunfa Lu - One of the best experts on this subject based on the ideXlab platform.
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is temperature Index Derivative suitable for china
Physica A-statistical Mechanics and Its Applications, 2019Co-Authors: Ying Zhou, Michael Dzigbordi Dzandu, Yinshan Tang, Xunfa LuAbstract:In this paper, we assessed the suitability of temperature Derivatives for China through modeling. We assumed that if the physical dynamics of temperature of some cities are identical, then the same types of temperature Derivatives can be used in these cities. Nearly twenty years temperature data of forty-seven cities with traded temperature Derivatives on the Chicago Mercantile Exchange Group (CME) and seven Chinese cities were collected and analyzed in a two-step approach. Firstly, the AR-EGARCH model capturing the shock asymmetry of the volatility of temperature is used to simulate the dynamics of temperature of the cities. Secondly, the temperature of the cities are classified through cluster analysis based on model parameters from the AR-EGARCH model. The results showed that the fitting effect of the AR-EGARCH model is very good, and only a few cities did not display the shock asymmetry. The model for Nanjing fitted well into one of the categories of the cities in the CME; but the other six Chinese cities belong to new categories, which are different from the cities in the CME. We concluded that HDD and CAT in Europe and CAT∗ in Japan can be used directly in Nanjing, but the existing temperature Derivatives in CME were unsuitable for the other six Chinese cities. Recommendations for the establishment of weather Derivatives market in China have been proposed.
Robert E. Whaley - One of the best experts on this subject based on the ideXlab platform.
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Do expirations of Hang Seng Index Derivatives affect stock market volatility
Pacific-basin Finance Journal, 1999Co-Authors: Nicolas P. B. Bollen, Robert E. WhaleyAbstract:High volatility in the stock market is often attributed to Index Derivative expirations. Such has been the case in the US, Japan, Australia, and, most recently, Hong Kong. Investigations of the US, Japanese, and Australian markets, however, fail to establish a direct link. The empirical evidence indicates that, while trading volume is higher than normal on Index futures and option expiration days, stock market volatility is no different. This paper examines price and volume data in days surrounding the expirations of the Hong . Kong Futures Exchange's Hang Seng Index HSI Derivative contracts and finds no evidence of increased stock market volatility. q 1999 Elsevier Science B.V. All rights reserved.
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Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets
Journal of Futures Markets, 1996Co-Authors: Jeff Fleming, Barbara Ostdiek, Robert E. WhaleyAbstract:In frictionless and rational markets, perfect substitutes must have the same price. In markets with trading costs, however, price differences may be as large as the costs of executing the arbitrage between markets. Moreover, if trading costs differ, trading activity will tend to be concentrated in the lowest-cost market. This study tests the differential trading cost hypothesis by examining the rate at which new information is incorporated in stock, Index futures, and Index option prices. The lead/lag return relations among markets are consistent with their relative trading costs. Prices in the Index Derivative markets appear to lead prices in the stock market. At the same time, Index futures prices tend to lead Index option prices, and the prices of Index calls and Index puts move together. The trading cost hypothesis reconciles the disparity found between the temporal relation in the stock Index/Index Derivative markets versus the stock/stock option markets.
Ying Zhou - One of the best experts on this subject based on the ideXlab platform.
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is temperature Index Derivative suitable for china
Physica A-statistical Mechanics and Its Applications, 2019Co-Authors: Ying Zhou, Michael Dzigbordi Dzandu, Yinshan Tang, Xunfa LuAbstract:In this paper, we assessed the suitability of temperature Derivatives for China through modeling. We assumed that if the physical dynamics of temperature of some cities are identical, then the same types of temperature Derivatives can be used in these cities. Nearly twenty years temperature data of forty-seven cities with traded temperature Derivatives on the Chicago Mercantile Exchange Group (CME) and seven Chinese cities were collected and analyzed in a two-step approach. Firstly, the AR-EGARCH model capturing the shock asymmetry of the volatility of temperature is used to simulate the dynamics of temperature of the cities. Secondly, the temperature of the cities are classified through cluster analysis based on model parameters from the AR-EGARCH model. The results showed that the fitting effect of the AR-EGARCH model is very good, and only a few cities did not display the shock asymmetry. The model for Nanjing fitted well into one of the categories of the cities in the CME; but the other six Chinese cities belong to new categories, which are different from the cities in the CME. We concluded that HDD and CAT in Europe and CAT∗ in Japan can be used directly in Nanjing, but the existing temperature Derivatives in CME were unsuitable for the other six Chinese cities. Recommendations for the establishment of weather Derivatives market in China have been proposed.
Soňa Kilianova - One of the best experts on this subject based on the ideXlab platform.
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analytical and numerical methods for stock Index Derivative pricing
2004Co-Authors: Soňa KilianovaAbstract:In the last decades, we could observe rapidly expanding trading of financial Derivative securities in financial markets. Mathematical modelling in finance as well as empirical analysis draw attention from researchers from a wide spectrum of disciplines, ranging from mathematics and statistics over operations research to economics.
