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.
|Number of pages||18|
|Journal||Journal of International Financial Markets, Institutions and Money|
|Publication status||Published - Jan 1999|
Scopus Subject Areas
- Economics and Econometrics
- Constituent stocks
- Index futures