Download or read book The Test of Market Efficiency and Index Arbitrage Profitability on Emerging Polish Stock and Futures Index Markets written by Je̜drzej Białkowski and published by . This book was released on 2003 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability written by Y. Peter Chung and published by . This book was released on 1989 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Transactions Data Test of Stock Index Futures Market Efficency and Index Arbitrage Profitability written by University of Microfilms International and published by . This book was released on 1994 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Coping with the Complexity of Economics written by Marisa Faggini and published by Springer Science & Business Media. This book was released on 2009-05-05 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: Throughout the history of economics, a variety of analytical tools have been borrowed from the so-called exact sciences. As Schoe?er (1955) puts it: “They have taken their mathematics and their ded- tive techniques from physics, their statistics from genetics and agr- omy, their systems of classi?cation from taxonomy and chemistry, their model-construction techniques from astronomy and mechanics, and their methods of analysis of the consequences of actions from en- neering”. The possibility of similarities of structure in mathematical models of economic and physical systems has been an important f- tor in the development of neoclassical theory. To treat the state of an economy as an equilibrium, analogous to the equilibrium of a mech- ical system has been a key concept in economics ever since it became a mathematically formalized science. Adopting a Newtonian paradigm neoclassical economics often is based on three fundamental concepts. Firstly, the representative agent who is a scale model of the whole society with extraordinary capacities, particularly concerning her - pability of information processing and computation. Of course, this is a problematic reduction as agents are both heterogeneous and bou- edly rational and limited in their cognitive capabilities. Secondly, it often con?ned itself to study systems in a state of equilibrium. But this concept is not adequate to describe and to support phenomena in perpetual motion.
Download or read book Stock Index Futures Arbitrage and Intraday Tests of Market Efficiency written by Jae Ha Lee and published by . This book was released on 1988 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Index Arbitrage and Nonlinear Dynamics Between the S P 500 Futures and Cash written by Gerald P. Dwyer and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bid ask Spread and Arbitrage Profitability written by Kee-hong Bae and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Stock Markets Linkages and Arbitrage Between Futures and Spot Markets written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock markets linkages and analysis of the arbitrage between spot and futures markets. The first part is devoted to examination of long and short term dependencies between markets. As an example of long term relationship between stock markets, the influence of US market on the most important markets during twenty years period was subject of examination. In turn, to examine short term relationship the dependencies between Japanese and Hong Kong markets during Asian crisis 1997 were scrutinized. The examination of stock of linkages was carried out by application of Markov Switching models. This approach has an advantage to the previous methods because it does not assume a priori a form of relationship between financial markets. Moreover, the Markov Switching framework allows calculating the probability that one market is in crisis or calm regime conditional on different sets of information about other markets. According to the obtained results the contagion between financial markets was rejected, however, sufficient facts supporting the presence of feedback spillovers were found. The second part of thesis presents results of detailed analysis of arbitrage opportunity between spot and futures markets on Polish blue chips index WIG 20. The Polish stock market is one of the emerging futures markets in Europe, it is characterised by proprieties which were absent in case of previous studies of arbitrage. The analysis shows that the lack of efficiency in arbitrage sense is due to the fact that investors have limited access to short sale, there is uncertainty about the size of interest rates, and dividends are paid in an irregular way. Finally, the thesis provide detailed mathematical derivation of the price of future contract and the value of forward contract on zero coupon bond when the short term interest rate is modelled by Cox-Ingersoll-Ross model. In addition, the thesis contains some comments on the methods of deriving price of contigent claims.
Download or read book Arbitrage and Efficiency in the Stock Index Futures and Options Markets written by Joel Stuart Sternberg and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Index Futures and Index Arbitrage in a Rational Expectations Model written by Anne Vila Wetherilt and published by . This book was released on 1989 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Index Arbitrage in the Turkish Market written by Ronald T. Slivka and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage is measured and decomposed into distinct contributions arising from commissions, fees, bid/offer spreads and stock loan costs. This study also extends the literature of stock index arbitrage by utilizing intraday data to compute returns for forward and reverse BIST 30 arbitrage once per minute for 2014 and 2015 futures contracts. These returns enable identification of the frequency for profitable executions net of all costs. The absence of profitable trades and the unusual persistence of BIST 30 futures priced below their costless theoretical fair value are explained by their position within zero arbitrage band thresholds. Decomposition and measurement of arbitrage cost elements confirms the identification for regulators of the need for policies to encourage continuing development of domestic stock loan capabilities that ultimately should improve futures pricing efficiency. The relative attractiveness of present BIST 30 index arbitrage is compared with that occurring a decade ago thereby contributing to the growing literature on the evolution of futures pricing efficiency in global markets after introduction of index futures.
Download or read book Individual Investors Surpass Their Reputation written by Martin T. Bohl and published by . This book was released on 2008 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines individual investors' trading behaviour by testing the presence of Monday and January anomalies on the Polish futures market, where individuals are the predominant trader type. Both anomalies are well established in the literature, and they are at least partially attributed to individual investors' trading activities. We conduct an intraday analysis of trading volume, open interest, returns, and return volatility on the futures market in Poland and find the contribution of individuals to market anomalies to be grossly overstated. Hence, individual investors' trading on the Polish futures market surpasses the prediction by the majority of investigations for mature stock markets.
Download or read book Semi Strong Information Efficiency of the Polish Stock Exchange Market in Various Market Situations written by Marcin Kalinowski and published by . This book was released on 2009 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: During a crisis a higher price changeability is noticeable on the financial market. Capital investment on the stock market is a problem concerning more and more people in this context. An attempt to determine effective decision making methods is an issue for both physical and legal persons including instructions managing investment portfolios.The aim of this paper is determining the level of information efficiency at the semi-strong stage of the largest Polish companies on the stock market (covered by WIG20 index) in different market conditions.To achieve this aim the author decided to create a graphic representation of semi-strong information efficiency. In the next section of the paper the author analyses the Polish stock market from the point of view efficiency in the years 2005-2008.The hypotheses tested by the author in the article: 1.The efficiency of the Polish stock market is dependent on the condition of the financial market.2.The Polish stock market is efficient in the time of crises, which means that information about companies is reflected in their share prices.Financial market efficiency is an element of considerations concerning capital investments. Satisfactory ROI (return on investment) is correlated with market efficiency. It is therefore important to conduct research on stock market efficiency and compare results. It is the basis for taking effective investment decisions on different markets.The conducted in this paper research demonstrates that there is a correlation between capital market prosperity and information efficiency on this market. The outcome of the research referring the level of fundamental analysis ratios P/E and P/BV to the rate of return in the following period prove that the situation on the capital market influences semi-strong information efficiency.
Download or read book The Index Futures Markets written by Laurence Copeland and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Individual Stocks Arbitrage written by Je̜drzej Białkowski and published by . This book was released on 2004 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Index Arbitrage and Margin Requirements on Volatility and Liquidity in Stock and Futures Market written by Ming-long Andrew Wang and published by . This book was released on 1992 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing index futures market efficiency using price differences written by Pradeep Kumar Yadav and published by . This book was released on 1991 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
