This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.

The price of stocks, futures, commodities and currency are for ever changing. Anyone interested in financial prices soon discovers that changes in prices are frequently substantial and are always difficult to forecast. This paper describes the behavior of prices from a statistical perspective. Specifically, employ several technical trading rules to uncover the trend of futures price movement and attempt to make profit out of the trend. In this paper, trading of seven technical trading systems is simulated for three futures contracts from September 1998 to March 2005 to test for market disequilibrium. The results differ by trading systems. Four systems produced positive mean net returns and five systems produced positive gross return when optimal parameters were used. These results indicate that, there exist opportunities to design profitable trading systems for futures markets.

Handelshögskolan, Diss.--Stockholm, 2007. / Enth. 3 Beitr.

Univ., Phil. Diss.--Augsburg, 2004.

Interest in the results of important macroeconomic information is in relation to the financial crisis deeper than usual. The main objective of this thesis is to evaluate the behavior of individual players on the market during the time of publication of these reports. It uses the standard tools that are available in commercial platforms. Literature, which addresses this area of trading, is not widely available. I dare to say that this thesis offer to the reader non-traditional view on this issue.

The first essay, "Market Integration and Side by Side Trading of Derivative and Cash Instruments" inquires into the microstructure of integrated trading of derivative and cash instruments and proposes a spatial differentiation model as a framework for analysis. The model illustrates that when broker-dealers can execute cash and derivative transactions proximately they can increase their returns by serving a larger proportion of investors who hold diverse portfolios thereby helping investors to economize on transactions costs. The model predicts that transactions involving a cash and derivative will be effected through an integrated system. The second essay, "Stock Index Futures Trading and Stock Market Volatility," reviews theoretical models and empirical evidence on the relationships between the level of futures trading and volatility. An empirical investigation is conducted by examining the relationship between the daily trading value of the S&P 500 stock index futures contract and the traded value of New York Stock Exchange stocks and considers whether there is higher price volatility in the stock markets when the level of trading in the futures markets is high relative to trading in the cash market. No evidence, theoretical or empirical, is found to support the notion that futures trading leads to greater volatility in the underlying cash market. The third essay, "Liquidation and Delivery Under Conditions of Manipulation models how strategic traders would respond to manipulation given an option to liquidate or deliver on the contract. A perfect Bayesian equilibrium concept is used in which traders must decide whether to liquidate or deliver given the realization of the first period equilibrium futures price. If detected by floor brokers who competitively bid prices to their expected value, the manipulator will cause prices to move against him, raising the equilibrium price when he puts in orders to buy and lowering the price when he seeks to selL Revelation of manipulation through prices also alters the behavior of other traders. An analysis of reactions in a simplified extensive form game indicates that detection of manipulation allows other market participants to stategically adjust their plans regarding liquidation and avoid incurring losses to the manipulator. / Ph. D.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: A unique data set consisting of economists' expectations on key economic indicators was examined within the context of the controversial normal backwardation theory of Keynes. The economists' expectations were regarded as the expected future spot price and the relationship between them and the corresponding futures contracts was analysed. The respective economic indicators were: i) the yield from aparastatal Bond, ii) the yield from Government Bonds, iii) the rate of the 90 day Banker's Acceptance (BA) Deposit Rate and iv) the Rand/Dollar (R/$) Exchange Rate for the past seven years, i.e. 1995 to 2001. The accuracy of the economists' predictions was tested both on a visual basis and the relationship between the expected values and the futures prices was plotted in a graphical format. A nonparametric statistical procedure was used to determine whether the economists' expectations were of any value. To put it differently, the question being posed is: do these economists, as a group, possess some superior forecasting skills? Two different conclusions were reached from the analysis: First conclusion: by accepting the normal backwardation theory, it implies that the contango theory also holds. Therefore, when analysing the data set visually - depending on which theory it supports - the futures price must trade consistently below or above the expected future spot price. For this particular analysis the yield of the bond, and not its price, was the important factor. In most cases the plotted relationships between the expected values and the futures prices were found to support the contango theory and, to a lesser extent, the normal backwardation theory. Hence, speculators were, in order to make profits, predominately sellers of futures contracts. Second conclusion: the strongest conclusion, however, follows from the statistical tests conducted on the expected values. It was found that economists do possess some superior forecasting skills and if they had used their predictions and had taken the corresponding market positions, they would have been consistent winners in the futures market. Their reward would be mainly for their ability to forecast eventual spot prices and, to a lesser extent, for their risk bearing. It was impossible to link the two conclusions to confirm the normal backwardation theory, for the particular South African data set. The evidence is thus consistent with the hypothesis that the futures price is an unbiased estimate of the expected future spot price. / AFRIKAANSE OPSOMMING: 'n Unieke datastel, bestaande uit ekonome se vooruitsigte van kern ekonomiese aanwysers, is ondersoek binne die konteks van die omstrede normale terugwaardasie-teorie (d.i. "normal backwardation theory") van Keynes. Die ekonome se vooruitsigte is aanvaar as die verwagte toekomstige kontantprys en die verhouding hiertussen en die ooreenstemmende termynpryse is ontleed. Die onderskeie ekonomiese aanwysers was: i) die opbrengs op 'n Semi-Staatseffek, ii) die opbrengs op Staatseffekte, iii) die koers van die negentig-dae-Bankaksepte (BA) Depositokoers en iv) die Rand/Dollar (R/$) Wisselkoers oor die afgelope sewe jaar, d.w.s. 1995 tot 2001. Die akkuraatheid van die ekonome se vooruitskattings is op 'n visuele basis vergelyk, en die verhouding tussen die verwagte prys en die termynpryse is in grafiese formaat gekarteer. 'n Nie-parametriese statistiese prosedure is gebruik om vas te stel of hierdie ekonome se vooruitsigte van enige waarde was. Anders gestel, die vraag is: beskik hierdie ekonome as 'n groep oor sekere superieure vooruitskattingsvaardighede? Die volgende twee afsonderlike gevolgtrekkings is geformuleer: Eerste gevolgtrekking: deur die normale terugwaardasie-teorie te aanvaar, impliseer dit dat die contango-teorie (d.i, "contango theory") ook geldig is. Dus, wanneer die datastel visueel getoets word - afhangende van watter teorie dit ondersteun - moet die termynprys konsekwent bo of onder die verwagte toekomstige kontantprys verhandel. Vir hierdie bepaalde analise was die opbrengs van die staatseffek die belangrike faktor en nié die prys daarvan nie. In die meeste gevalle het die gekarteerde verhouding tussen die verwagte prys en die termynprys getoon dat dit die contango-teorie ondersteun het en, in 'n mindere mate, die normale terugwaardasie-teorie. Derhalwe was spekulante, ten einde wins te maak, oorwegend die verkopers van termynkontrakte. Tweede gevolgtrekking: die belangrikste gevolgtrekking volg egter uit die statistiese toetse wat uitgevoer is op die verwagte pryse. Daar is bevind dat ekonome wel oor superieure vooruitskattingsvaardighede beskik en dat, indien hulle hul vooruitskattings gebruik en die ooreenstemmende markposisies ingeneem het, hulle konsekwent wenners in die termynmark sou gewees het. Hulle vergoedings sou hoofsaaklik gewees het vir hulle vermoë om uiteindelike kontantpryse te voorspel en, in 'n mindere mate, vir hulle risiko-blootstelling. Dit was onmoontlik om hierdie twee vergelykings met mekaar te verbind om sodoende die normale terugwaardasie-teorie te onderskryf vir die betrokke Suid-Afrikaanse datastel. Die bewyslewering is dus konsekwent met die hipotese dat die termynprys 'n onsydige skatting van die verwagte toekomstige kontantprys is.

本研究以天真避險、傳統OLS模型、OLS共整合模型及Bivariate GARCH模型探討SIMEX及OSE所交易的日經225 (Nikkei 225)股價指數期貨對日本及台灣股市風險的避險效果，測試在台灣股價指數期貨尚未推出之際，投資人是否可能採用鄰近國家，如日本的日經股價指數期貨，來規避台灣股市風險。本研究採用每週三週報酬資料，研究期間自1988年9月3日起至1995年12月底止，全部樣本期間共有376筆資料，劃分為兩個子期間，並以第二子期間做樣本外測試，避險期間分為一週、兩週及四週。 　　實證結果發現： 　　(1) SIMEX日經指數期約、OSE日經指數期約、日經股價指數及台灣股價指數的時間數列均非常態分配。經一階差分之後，上述四個時間數列才會為定態數列。日經股價指數期貨與日經股價指數之間有共整合關係，此乃表示現貨與期貨價格之間存在有長期均衡關係，但日經股價指數期貨與台灣股價指數之間並無共整合關係。 　　(2) Bivariate GARCH模式在各研究期間所得到的各參數的估計值，大多顯著，這說明不論在日本或台灣市場，以日經股價指數期貨規避股票市場風險時，期貨與現貨分配會有隨時間而變動的現象。 　　(3) 在日經指數的現貨市場中： 　　1. OLS共整合模型的避險比率較傳統OLS模型為高。使用SIMEX期貨契約避險所需要的避險比率較使用OSE期貨契約為避險工具時為小，而且不論使用SIMEX或OSE期貨契約避險，當避險期間越長，避險比率越大。 　　2. 在樣本內實證中，以OSE期貨契約避險所造成的投資組合變異數較使用SIMEX期約為大，而且投資組合變異數隨避險期間的增長而有下降的趨勢，但在樣本外的期間中，卻無如此的明顯趨勢。 　　3. 除了在日本股市大崩盤之前的實證期間顯示不論是使用SIMEX或OSE期貨契約，Bivariate GARCH模型的避險效果均較好之外，在其他的實證期間中，GARCH模型大約只比天真避險模式效果好，卻比其他模型效果差，而這種情況在使用OSE期貨契約時更為明顯，不過不論使用哪種模型，都能比不避險時減少大部份現貨的風險。 　　4. 從樣本內實證期間發現SIMEX與OSE契約在避險效果上是有差別的，但樣本外實證卻未發現避險效果上有明顯差別。 　　(4)在台灣股價指數的現貨市場下： 　　1. 不論使用SIMEX或OSE期貨契約避險在崩盤前所需要的避險比率均較崩盤後為高，而不論使用SIMEX或OSE期貨契約避險，避險比率均差不多。 　　2. 樣本內或樣本外實證都發現，若使用天真避險模式避險還不如不避險的好。除了在大崩盤後的樣本內實證中，GARCH模式的組合變異比傳統OLS模式為高之外，Bivariate GARCH模式的確優於其他避險模式。但日經指數期約與台灣股價指數所形成的投資組合變異數比在日本市場時高出甚多，且使用OLS或GARCH模式只能略微降低不避險狀態下所造成的變異數。不論是參數的估計值或避險績效都支持日經指數期貨與台灣股價指數間存在有GARCH效果。

本文採用1998年九月2日到2003九月30日的台灣指數期貨每日收盤價，總共1304筆資料。我們希望能藉由濾嘴法則以收盤價及交易量和未平倉量來衡量台灣指數期貨的效率性。而實證結果也證實可以藉由濾嘴法則濾除掉市場上的小波動，並進而預測出主要的價格趨勢。 / This thesis adopts futures data, which are the daily closing prices of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts. The sample period is from September 2, 1998 to September 30, 2003, a total of 1304 transaction days. The goal we want to achieve is to test and verify the momentum by filter rules based on price and volume in the futures market in Taiwan. In addition, the open interest is substituted for the trading volume to exam its effect on the futures price. The empirical results show that we can predict the price trend as long as we employ an appropriate range value to filter out “the noise”.

When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the index portfolio and take short (long) positions in the corresponding index derivative contracts until prices return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for the market to absorb, resulting in price changes. Utilizing a list of S&P 500 index composition changes occurring over the period September 1976 to December 2005, I investigated the market-adjusted volume turnover ratios and return variances of the stocks being added to and deleted from the S&P 500, surrounding the effective day of index membership changes. My primary finding is that, after the introduction of the S&P 500 index futures and options contracts, stocks added to the S&P 500 experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant change in either trading volume or return volatility. Both daily and monthly return variances increase following index inclusion, consistent with the hypothesis that derivative transactions "fundamentally" destabilize the underlying securities. I argue that the increase in trading volume and return volatility may be attributed to index arbitrage transactions as derivative markets provide more routes for index arbitrageurs to trade. Other index trading strategies such as portfolio insurance and program trading may also contribute to the results. On the other hand, a deleted stock is not associated with changes in trading volume and volatility since it represents an extremely small fraction of the market value-weighted index portfolio, and the influence of index trading strategies becomes slight for these shares. Furthermore, evidence is provided that trading volume and return volatility are positively related.