✦ LIBER ✦

Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market

✍ Scribed by Tae H. Park; Lorne N. Switzer

Publisher: John Wiley and Sons
Year: 1995
Tongue: English
Weight: 631 KB
Volume: 15
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990150206

No coin nor oath required. For personal study only.

✦ Synopsis

The enhanced participation of institutional investors in equity markets has increased the popularity of "basket trading." A basket is simply a portfolio of stocks that moves with general market trends. Buying and selling baskets of stocks can be expensive in terms of both the time and cost to execute all the trades for each individual holding. In response to the need for a simple product that enables all investors, large and small, to easily and quickly participate in the Canadian market, the Toronto Stock Exchange (TSE) in March 1990 developed Toronto 35 Index Participation units, also known as TIPS. Each TIPS unit represents Authors thank Peter Haynes ofToronto Stock Exchange for providing the data on Toronto 35 Index and Futures.

📜 SIMILAR VOLUMES

The predictive value of temporally disag

The predictive value of temporally disaggregated volatility: evidence from index futures markets

✍ Nicholas Taylor 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 300 KB 👁 1 views

## Abstract This paper examines the benefits to forecasters of decomposing close‐to‐close return volatility into close‐to‐open (nighttime) and open‐to‐close (daytime) return volatility. Specifically, we consider whether close‐to‐close volatility forecasts based on the former type of (temporally agg

Stock market volatility and the forecast

Stock market volatility and the forecasting performance of stock index futures

✍ Janchung Wang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 120 KB 👁 1 views

## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili

Linear and nonlinear Granger causality:

Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market

✍ Abhyankar, Abhay 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 245 KB 👁 2 views

The Disappearing January/Turn of the Yea

The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets

✍ Andrew C. Szakmary; Dean B. Kiefer 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 172 KB 👁 1 views

## Abstract This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evoluti

Standard and Poor’s depository receipts

Standard and Poor’s depository receipts and the performance of the S&P 500 index futures market

✍ Lorne N. Switzer; Paula L. Varson; Samia Zghidi 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 99 KB 👁 1 views

A further investigation of the lead-lag

A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea

✍ Min, Jae H.; Najand, Mohammad 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 213 KB 👁 2 views

In this article, we investigate possible lead and lag relationship in returns and volatilities between cash and futures markets in Korea. Utilizing intraday data from the newly established futures market in Korea, we find that the futures market leads the cash market by as long as 30 minutes. This r