Do futures-based strategies enhance dynamic portfolio insurance?

Article Abstract:

An investigation using two approaches to dynamic portfolio insurance, like the synthetic put and the Constant Proportion Portfolio Insurance (CPPI) was conducted on the Australian market. The futures-based implementation of both approaches is robust to both tranquil and turbulent market conditions in preserving the desired floor.

Australia, Legal issues & crime, Forecasts, trends, outlooks, Company legal issue, Forecasts and trends, Investigations, Futures market, Futures markets, Market trend/market analysis, Portfolio insurance

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New insights into the impact of the introduction of futures trading on stock price volatility

Article Abstract:

The impact of the introduction of trading in share futures contracts on individual stocks on the systematic risk and volatility of shares is considered. It is argued that derivatives and volatility probably do not have the direct link identified by some commentators.

Stock prices

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Order imbalance and the pricing of index futures

Article Abstract:

The relationship between aggregate order imbalance for index stocks and the arbitrage spread between index futures and cash index is examined. Data used in the study cover an extended period that includes the Asian financial crisis of 1997.

China, Commodity & service prices, Analysis, Securities, Securities prices, Stock index futures, Company pricing policy, Asian Economic Crisis, 1997-1998

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