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

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 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 languageEnglish
Pages (from-to)97-114
Number of pages18
JournalJournal of International Financial Markets, Institutions and Money
Volume9
Issue number1
DOIs
Publication statusPublished - Jan 1999

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • Beta
  • Constituent stocks
  • Index futures

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