The term structure of sentiment effect in stock index futures market
โ Scribed by Yang, Chunpeng; Gao, Bin
- Book ID
- 126585338
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 796 KB
- Volume
- 30
- Category
- Article
- ISSN
- 1062-9408
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## 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
This study examines the relation between stock market volatility and the demand for hedging in S&P 500 stock index futures contracts. Open interest is used as a proxy for hedging demand. The analysis employs unique data that identify separately the open interest of large hedgers, large speculators,