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

^*Corresponding author for this work

Research output: Contribution to journal › 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

Scopus Subject Areas

Finance
Economics and Econometrics

User-Defined 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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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.

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KW - Index futures

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

Abstract

Scopus Subject Areas

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