FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1974095796> ?p ?o ?g. }

• W1974095796 endingPage "77" @default.
• W1974095796 startingPage "61" @default.
• W1974095796 abstract "This study presents empirical evidence related to futures pricing for the SGX FTSE Xinhua China A50 and HKEx H-share index futures markets. First, whether the costof-carry model can describe the relationship between index futures prices and underlying stock indexes is examined. As anticipated, the cost of carry model cannot accurately predict the prices of these two index futures, because the two underlying Chinese stock markets display high price volatility. Furthermore, the empirical results indicate that different risk-free interest rate proxies have little effect on the mispricing of the cost-of-carry model. Next, this study compares the pricing performance of the cost-of-carry model and the Hemler-Longstaff (1991) model with stock market volatility. Empirical results demonstrate that incorporating stock market volatility into pricing models appears beneficial for estimating prices on these two index futures. Furthermore, the component GARCH model improves the pricing performance of the Hemler-Longstaff model. Finally, the autocorrelation and regression results suggest high persistence in mispricings." @default.
• W1974095796 created "2016-06-24" @default.
• W1974095796 creator A5000651780 @default.
• W1974095796 date "2011-01-01" @default.
• W1974095796 modified "2023-10-17" @default.
• W1974095796 title "Price Behavior of Stock Index Futures: Evidence from the FTSE Xinhua China A50 and H-Share Index Futures Markets" @default.
• W1974095796 cites W1490475902 @default.
• W1974095796 cites W1976020937 @default.
• W1974095796 cites W1984755762 @default.
• W1974095796 cites W1986246158 @default.
• W1974095796 cites W1999029409 @default.
• W1974095796 cites W1999814123 @default.
• W1974095796 cites W1999996900 @default.
• W1974095796 cites W2003695399 @default.
• W1974095796 cites W2008228563 @default.
• W1974095796 cites W2011268438 @default.
• W1974095796 cites W2013109882 @default.
• W1974095796 cites W2025425703 @default.
• W1974095796 cites W2050400764 @default.
• W1974095796 cites W2054985168 @default.
• W1974095796 cites W2080207719 @default.
• W1974095796 cites W2088918757 @default.
• W1974095796 cites W2100458410 @default.
• W1974095796 cites W2138914269 @default.
• W1974095796 cites W2157384427 @default.
• W1974095796 cites W2883903268 @default.
• W1974095796 cites W3021444882 @default.
• W1974095796 cites W3123429526 @default.
• W1974095796 cites W4236572451 @default.
• W1974095796 cites W4251576698 @default.
• W1974095796 cites W4297964220 @default.
• W1974095796 doi "https://doi.org/10.2753/ree1540-496x4701s106" @default.
• W1974095796 hasPublicationYear "2011" @default.
• W1974095796 type Work @default.
• W1974095796 sameAs 1974095796 @default.
• W1974095796 citedByCount "10" @default.
• W1974095796 countsByYear W19740957962013 @default.
• W1974095796 countsByYear W19740957962014 @default.
• W1974095796 countsByYear W19740957962015 @default.
• W1974095796 countsByYear W19740957962016 @default.
• W1974095796 countsByYear W19740957962017 @default.
• W1974095796 countsByYear W19740957962019 @default.
• W1974095796 countsByYear W19740957962021 @default.
• W1974095796 crossrefType "journal-article" @default.
• W1974095796 hasAuthorship W1974095796A5000651780 @default.
• W1974095796 hasConcept C106159729 @default.
• W1974095796 hasConcept C106306483 @default.
• W1974095796 hasConcept C127413603 @default.
• W1974095796 hasConcept C136764020 @default.
• W1974095796 hasConcept C149782125 @default.
• W1974095796 hasConcept C151730666 @default.
• W1974095796 hasConcept C162324750 @default.
• W1974095796 hasConcept C204036174 @default.
• W1974095796 hasConcept C23922673 @default.
• W1974095796 hasConcept C2777382242 @default.
• W1974095796 hasConcept C2780299701 @default.
• W1974095796 hasConcept C2780762169 @default.
• W1974095796 hasConcept C2993390347 @default.
• W1974095796 hasConcept C41008148 @default.
• W1974095796 hasConcept C78519656 @default.
• W1974095796 hasConcept C86803240 @default.
• W1974095796 hasConcept C88389905 @default.
• W1974095796 hasConcept C91602232 @default.
• W1974095796 hasConceptScore W1974095796C106159729 @default.
• W1974095796 hasConceptScore W1974095796C106306483 @default.
• W1974095796 hasConceptScore W1974095796C127413603 @default.
• W1974095796 hasConceptScore W1974095796C136764020 @default.
• W1974095796 hasConceptScore W1974095796C149782125 @default.
• W1974095796 hasConceptScore W1974095796C151730666 @default.
• W1974095796 hasConceptScore W1974095796C162324750 @default.
• W1974095796 hasConceptScore W1974095796C204036174 @default.
• W1974095796 hasConceptScore W1974095796C23922673 @default.
• W1974095796 hasConceptScore W1974095796C2777382242 @default.
• W1974095796 hasConceptScore W1974095796C2780299701 @default.
• W1974095796 hasConceptScore W1974095796C2780762169 @default.
• W1974095796 hasConceptScore W1974095796C2993390347 @default.
• W1974095796 hasConceptScore W1974095796C41008148 @default.
• W1974095796 hasConceptScore W1974095796C78519656 @default.
• W1974095796 hasConceptScore W1974095796C86803240 @default.
• W1974095796 hasConceptScore W1974095796C88389905 @default.
• W1974095796 hasConceptScore W1974095796C91602232 @default.
• W1974095796 hasIssue "sup1" @default.
• W1974095796 hasLocation W19740957961 @default.
• W1974095796 hasOpenAccess W1974095796 @default.
• W1974095796 hasPrimaryLocation W19740957961 @default.
• W1974095796 hasRelatedWork W1901140523 @default.
• W1974095796 hasRelatedWork W2004421184 @default.
• W1974095796 hasRelatedWork W2100193126 @default.
• W1974095796 hasRelatedWork W2348311927 @default.
• W1974095796 hasRelatedWork W2381502014 @default.
• W1974095796 hasRelatedWork W2384023246 @default.
• W1974095796 hasRelatedWork W2955912281 @default.
• W1974095796 hasRelatedWork W3198137074 @default.
• W1974095796 hasRelatedWork W431641171 @default.
• W1974095796 hasRelatedWork W186107823 @default.
• W1974095796 hasVolume "47" @default.
• W1974095796 isParatext "false" @default.
• W1974095796 isRetracted "false" @default.

• next