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Arbitrage of Single Stocks Versus Futures in India

Slivka, Ronald T. - 2012

in India include the high costs of brokerage, government, exchange and regulatory fees, an underdeveloped securities … execution. The result of these costs and constraints is that stock versus futures arbitrage in India is presently confined … single stock futures data this article explores specific arbitrage details of single stocks vs. their futures in the India …

Persistent link: https://www.econbiz.de/10013113638

A temporal analysis of intraday volatility of nifty futures on the national stock exchange

Singh, Ritvik; Gangwar, Rachna - 2018

This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1, 2011 to Aug 31, 2018 was used for the purpose of this...

Persistent link: https://www.econbiz.de/10011937175

The Use of Derivatives to Hedge Market Risk in Corporate Financing

Sánchez-Verdasco, Javier - 2018

In this tutorial article, the strategies available to hedge market risks arising from different financing instruments are explained. Financial derivatives, whether futures or options have been widely applied in companies to mitigate or eliminate potential losses due to the uncertainty in...

Persistent link: https://www.econbiz.de/10012913055

Stock Index Arbitrage in the Turkish Market

Slivka, Ronald T. - 2016

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...

Persistent link: https://www.econbiz.de/10013003009

Volatility impact of stock index futures trading : a revised analysis

Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

Persistent link: https://www.econbiz.de/10009673721

Derivative Markets in Emerging Economies : A Survey

Atilgan, Yigit - 2015

recognized functions of derivative markets and restrict the review to the set of top journals in finance and those that …

Persistent link: https://www.econbiz.de/10013016148

An Algebraic Model for Hedging Equity Index Portfolios with Stock Index Futures. Evidence from the IBEX 35

Sánchez-Verdasco, Javier - 2017

This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an alternative to econometric models (OLS, ECM, and GARCH) and assesses the efficacy of the model when applied to the IBEX 35 for the period 2007-2015. The model is initially formulated...

Persistent link: https://www.econbiz.de/10012967536

Strategic Rebalancing

Rattray, Sandy - 2019

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed portfolio weights, is an active strategy. Winning asset classes are sold and losers are bought. During crises, when markets are often trending, this can lead to substantially larger drawdowns than a...

Persistent link: https://www.econbiz.de/10012893403

Momentum in the Indian Equity Markets : Positive Convexity and Positive Alpha

Srivastava, Sonam - 2019

We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the …-sectional momentum or relative momentum. We demonstrate that at the optimal horizon, momentum strategies on securities in India can be a …

Persistent link: https://www.econbiz.de/10012891432

High Quality Stocks in Indian Markets

Ramraika, CFA, Baijnath - 2017

An investor, as Warren Buffett, said should think like a part-owner when investing in common stocks. As a part-owner, the investor should be concerned about the competitive positioning of the business he/she is invested in. A business that is relatively insulated from competitive actions, will...

Persistent link: https://www.econbiz.de/10012946050