3rd Edition

Stock Index Futures

By Charles M.S. Sutcliffe Copyright 2006
    534 Pages
    by Routledge

    534 Pages
    by Routledge

    The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

    Contents: Preface. Preliminaries: Stock market indices; Introduction to futures trading. Arbitrage: Arbitrage and the valuation of stock index futures; Arbitrage in practice; Arbitrage and relaxing the assumptions. Prices: Basics, spreads and the risk premium; Maturity, price volatility and volume; Market efficiency. Uses: Hedging; The uses of stock index futures by fund managers. Others: The design and regulation of futures contracts; Further topics in index futures; Questions; Glossary; References; Index.

    Biography

    Sutcliffe, Charles M.S.