The impact of index futures trading on the betas of the underlying constituent stocks the case of Hong Kong

Andy C.N. Kan; Gordon Y.N. Tang

doi:10.1016/S1042-4431(98)00037-7

The impact of index futures trading on the betas of the underlying constituent stocks the case of Hong Kong

Andy C.N. Kan
, Gordon Y.N. Tang

Management and Strategy

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

Abstract

A varying risk market model, which captures the potential differential return premiums between recessions and expansions, is employed to test the change of beta coefficients of the HSI constituent stocks after the HSI futures trading. Unlike the results in earlier literature describing studies of the US market, this study shows that the creation of the index futures in an emerging market does not necessarily increase the systematic risk of its underlying stocks.

Original language	English
Pages (from-to)	97-114
Number of pages	18
Journal	Journal of International Financial Markets, Institutions and Money
Volume	9
Issue number	1
DOIs	https://doi.org/10.1016/S1042-4431(98)00037-7
Publication status	Published - Jan 1999

Keywords

Beta
Constituent stocks
Index futures

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10.1016/S1042-4431(98)00037-7

Cite this

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abstract = "A varying risk market model, which captures the potential differential return premiums between recessions and expansions, is employed to test the change of beta coefficients of the HSI constituent stocks after the HSI futures trading. Unlike the results in earlier literature describing studies of the US market, this study shows that the creation of the index futures in an emerging market does not necessarily increase the systematic risk of its underlying stocks.",

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N2 - A varying risk market model, which captures the potential differential return premiums between recessions and expansions, is employed to test the change of beta coefficients of the HSI constituent stocks after the HSI futures trading. Unlike the results in earlier literature describing studies of the US market, this study shows that the creation of the index futures in an emerging market does not necessarily increase the systematic risk of its underlying stocks.

AB - A varying risk market model, which captures the potential differential return premiums between recessions and expansions, is employed to test the change of beta coefficients of the HSI constituent stocks after the HSI futures trading. Unlike the results in earlier literature describing studies of the US market, this study shows that the creation of the index futures in an emerging market does not necessarily increase the systematic risk of its underlying stocks.

KW - Beta

KW - Constituent stocks

KW - Index futures

UR - https://www.scopus.com/pages/publications/0032622609

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DO - 10.1016/S1042-4431(98)00037-7

M3 - Article

AN - SCOPUS:0032622609

SN - 1042-4431

VL - 9

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EP - 114

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

IS - 1

ER -

The impact of index futures trading on the betas of the underlying constituent stocks the case of Hong Kong

Abstract

Keywords

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