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1
Garrett, Ian. "The pricing relationship between the FTSE 100 stock index and FTSE 100 stock index futures contract." Thesis, Brunel University, 1992. http://bura.brunel.ac.uk/handle/2438/5283.
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This thesis investigates the pricing relationship between the FTSE 100 Stock Index and the FTSE 100 Stock Index futures market. We develop and apply a framework in which it is possible to evaluate whether or not markets can be said to function effectively and efficiently. The framework is applied to both the daily and intra-daily pricing relationship between the aforementioned markets. In order to analyse the pricing relationship within days, we develop a new method to remove the effects of nonsynchronous trading from the FTSE 100 Index. We find that on a daily basis the markets generally function effectively, although this does not carryover to the intra-daily pricing relationship. This is especially true during the October 1987 stock market crash, where it is argued that a possible cause of the breakdown lies with the stock market. If this is the case, then any regulation should be aimed at the stock market, not the stock index futures market.
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Kalogeropoulou, Joanna. "Arbitrage in the FTSE 100 index futures." Thesis, Brunel University, 1998. http://bura.brunel.ac.uk/handle/2438/5396.
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This thesis presents five empirical papers investigating the issue of arbitrage trading of the FTSE 100 stock index futures. The first paper explores the effects of nonsynchronous trading on the spot index and develops a new technique as well as improving current methodologies for removing them. Studies in U. S. have shown that if the problem of non-synchronous trading is severe, the reported spot index is not reliable affecting the correct pricing of futures contracts. The second paper investigates the elasticity of supply of arbitrage in the futures market and the ability of the spot and the futures markets to respond to new information. It shows that arbitrage trading is initiated when spot prices largely drift apart from the futures prices. In addition, the futures prices tend to uncover new information before the spot prices, although this relationship is not stable over time. The analysis incorporates all possible channels of information to the -markets, which previous research fails to consider. The third paper analyses the behaviour of the deviation of the actual futures price from its theoretical value. Although this deviation is seen to have decreased its size over the years, it is still significant and persistent. Furthermore, it cannot be explained by the tax-timing option on pricing the futures or the effects of nonsynchronous trading. The fourth paper examines the presence, size and frequency of the profitability of the observed arbitrage opportunities by applying different transactions costs bounds to account for different classes of traders. After applying trading simulations arbitrage profitability is found to be frequent and significant, despite the fact that its size has decreased over the years. Finally, the thesis concludes with the fifth empirical paper which investigates the impact of futures trading on the spot and futures market volatility. It finds that arbitrage increases spot and futures price volatility but a volatile market brings the two markets closer on the whole, the thesis shows that although profitable arbitrage opportunities are not present in the long-run, they are not quickly removed in the short-run, allowing the spot and futures prices to drift apart.
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Sebastiao, Helder Miguel Correia Virtuoso. "Price discovery in the FTSE 100 index and FTSE 100 futures contract : the impact of electronic trading systems." Thesis, Lancaster University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.445482.
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Butterworth, Darren David. "Issues in stock index futures trading : evidence for the FTSE-100 and FTSE-mid 250 contacts." Thesis, Durham University, 1998. http://etheses.dur.ac.uk/5027/.
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This thesis provides a detailed empirical evaluation of the role and function of the FTSE 100 and FTSE Mid 250 index futures contracts, by considering the interrelated issues of hedging effectiveness and pricing efficiency. The aims of the thesis are outlined in chapter one, with chapter two providing a detailed review of the empirical literature relevant to this study. Chapter three investigates the hedging effectiveness of the FTSE 100 and FTSE Mid 250 index futures contracts in both an ex post and ex ante context. Despite relatively thin trading volume, the FTSE Mid 250 contract is shown to be an important hedging instrument. However, the results demonstrate the hedging effectiveness can only truly be examined by using an ex ante strategy in conjunction with spot portfolios that do not replicate market portfolios. Work into hedging effectiveness is further examined in chapter four using hedge ratios generated within the Extended Mean Gini framework. The results indicate that for both contracts the hedge ratio series are characterised by a step function which is strongly related to the hedger's degree of risk aversion. Chapter five examines the pricing efficiency of the FTSE 100 and Mid 250 contracts. While there were many deviations from fair value, both contracts appear to be quite efficiently priced, with opportunity for index arbitrage rare. Research into the economics of arbitrage is extended in chapter six by investigating the potential for intramarket and intermarket spread trading. While the intramarket spread is found to be very efficiently priced, trading well within its no-arbitrage limits, the intermarket is much less efficiently priced frequently violating its no-arbitrage limits. Chapter seven, provides a summary of the thesis and concluding remarks concerning the relevance of the issues investigated are drawn.
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Fuentes, Rafael alejandro Velasco. "Stochastic clocks in real-time financial markets : Empirical anlysis on FTSE 100 index futures." Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.499808.
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Lin, Nicole Yueh-Neng. "Option pricing under stochastic volatility for S & P 500 FTSE 100 index options." Thesis, University of Manchester, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632541.
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This thesis examines option pricing under stochastic volatility for S&P 500 and FTSE 100 index options. The main contributions of the thesis are: (i) it provides empirical evidence of stochastic volatility in S&P 500 and FTSE 100 index returns; (ii) it explains empirically the impact of stochastic volatility on option pricing for index options; (iii) it tests whether option prices are consistent with the time series properties of the underlying asset price; and (iv) it investigates the magnitude and sign of volatility risk premlums. The empirical evidence shows that changes in S&P 500 and FTSE 100 index prices have distributions with fatter tails than the normal distribution and non-zero skewness. This leads to a consideration of non-normal distributions and possible explanations for deviations from normality. Of the possible explanations for the documented leptokurtosis in stock returns, stochastic volatility is generally regarded as the most likely candidate. The GARCH( 1,1 LTX model is shown to capture the volatile nature of our data well. A diffusion limit of the GARCH(1, 1 L TX process is the mean-reverting square root volatility process used in Heston's (1993) option pricing formula. This research considers Heston's (1993) stochastic volatility (SV) option pricing model as the empirical challenger to the Black-Scholes (BS) model, which assumes that the distribution of stock price changes is normally distributed with constant volatility. Insample pricing, out-of-sample forecasting, diagnosis of implied volatility curves, and internal consistency with the time series of implied volatilities and with the GARCH( 1,1 L TX process are examined to investigate the performance of the BS and SV models. We also conduct careful and detailed data screening for our empirical work. Our results reveal significant evidence of stochastic volatility implicit in option prices, and suggest that this phenomenon is essential to improving the performance of the BS model for index options. Nevertheless, internal consistency test results report inconsistency of both the BS and SV models with time-series data, indicating residual SV model misspecification for SPX and FTSE-I00 options. This has the important implication that stochastic volatility is a significant factor in option pricing but not the only factor affecting stock index option prices. Option pricing under stochastic volatility involves a preference issue since volatility is a nontraded asset. This research assumes that the volatility risk premium is proportional to the spot volatility level, which is internalised in the risk-neutral parameters. The actual volatility parameters can be recovered either from the time series of implied volatilities using option prices or from the GARCH( 1,1 L TX process using index returns. By comparing actual parameters with their risk-neutral counterparts, an estimate of the unit volatility risk premium can be thus obtained. Negative premiums for volatility risk are consistently observed in the SPX option market while there are mixed results for the S&P 500 index, FTSE 100 index and options markets. Nevertheless, the magnitudes of these estimates indicate that compensation for volatility risk is a significant component of the risk premiums in the S&P 500 and FTSE 100 index and option markets. However, the possibility of misspecification in the SV and GARCH(I,ILTX models should be kept in mind when explaining the magnitude and sign of risk premiums.
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Moosagie, Basheer Ahmed. "Shariah-compliant index derived from the FTSE100 vs. FTSE 100: 2003-2014 performance comparison." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/96216.
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Thesis (MBA)--Stellenbosch University, 2014.This research study critically reviewed the performance of a Shariah-compliant index compared with that of the UK FTSE 100 between 2003 and 2014. Two broad indices were constructed based on business evaluation techniques, one using market capitalisation and the other total assets as a means to value a company. Shariah-compliant equity screening combines a financial ratio screen as well as business activity screening, which excludes a company’s involvement in any unlawful activities in the eyes of Islamic law. The sample period was further broken into three sub-periods, namely the bull period (2003-2007), the financial crisis period (2008-2009), and the post-crisis period (2009-2014), reflecting the various stages of the business cycle. A comparison of the risk-adjusted returns shows that the Shariah-compliant index, using market capitalisation as the means for valuing a company, delivers superior returns at lower risk levels than the FTSE100 over the sample period. Although the Shariah-compliant indices underperform to the FTSE100 during the bull market period, both of the Shariah compliant indices outperform the FTSE 100 during the era of the financial crisis. This can be explained by the fact that Shariah screening excludes companies that are highly leveraged and therefore it remains buffered from an economic crisis. In general, this research contends that the application of a faith-based-screen does not have an adverse effect on returns.
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Gonçalves, Cláudia. "O impacto da IFRS 13 nas divulgações das empresas do FTSE 100." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14638.
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Mestrado em Contabilidade, Fiscalidade e Finanças EmpresariaisEste estudo tem como principal objetivo analisar se a implementação da IFRS 13 teve, ou não, influência na quantidade de informação relativa à mensuração pelo justo valor que é divulgada pelas empresas do FTSE 100, nomeadamente para duas rúbricas de ativos financeiros (detidos para venda e derivados). Desta forma, elaborou-se um índice de divulgação para os períodos de 2012 e 2014 que evidencia o grau de conformidade das empresas integrantes da amostra para com os requisitos da IFRS 13. Adicionalmente, foram analisadas diversas características internas de cada empresa, de modo a avaliar impacto das mesmas no nível de divulgação. Os resultados demonstram que, para ambos os ativos financeiros, o nível de compliance das empresas para com a IFRS 13 foi superior em 2014. Apesar do crescimento, este estudo demonstrou que a evolução do índice não foi significativa, logo a IFRS 13 não está a ter um papel determinante nas práticas de divulgação dos seus itens. Para além disso, observou-se que a dimensão, margem de lucro e ROA das empresas influenciam significativamente o índice relativo aos ativos financeiros detidos para venda, e que o endividamento e a margem de lucro tiveram um impacto, também significativo no índice relativo aos derivados. Adicionalmente, e através de uma regressão adicional que coloca a valorização da empresa (TobinQ) como variável dependente, chegou-se à conclusão que o índice de divulgação dos itens da IFRS 13, não tem impacto significativo na mesma, para nenhuma das rúbricas estudadas.
The main purpose of this study is to analyze if the enforcement of IFRS 13 had any influence in the disclosure of information about fair value by FTSE 100 companies regarding two specific types of financial assets (held for sale and derivatives). Therefore, an index of disclosure was elaborated in order to show the degree of compliance of the sample companies to the technical requirements of IFRS 13. In addition, several of the characteristics of each company were analyzed in order to evaluate their disclosure index. The results show that, for both financial assets, the level of compliance of companies to IFRS 13 was higher in 2014. Nevertheless, this evolution was not statistically significant. Therefore, we conclude that IFRS 13 did not play a fundamental role in the disclosure practices of its items. In addition, we observe that variables as size, profitability and ROA significantly influence the index relative to financial assets held for sale, and that leverage and profitability have an impact in the derivative assets index. In addition, and through an additional regression that placed the valuation of the company (TobinQ) as a dependent variable, we conclude that the disclosure index of IFRS 13 items does not have a significant impact, for none of the financial assets used in the research.
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Rehnby, Nicklas. "Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139718.
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Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. Practitioners and academics have over the years developed different models with the assumption of non-constant volatility, without reaching any conclusions regarding which model is more suitable to use. This thesis examines four different models, the first model is the Practitioners Black & Scholes model proposed by Christoffersen & Jacobs (2004b). The second model is the Heston´s (1993) continuous time stochastic volatility model, a modification of the model is also included, which is called the Strike Vector Computation suggested by Kilin (2011). The last model is the Heston & Nandi (2000) Generalized Autoregressive Conditional Heteroscedasticity type discrete model. From a practical point of view the models are evaluated, with the goal of finding the model with the best pricing performance and the most practical usage. The model´s robustness is also tested to see how the models perform in out-of-sample during a high respectively low implied volatility market. All the models are effected in the robustness test, the out-sample ability is negatively affected by a high implied volatility market. The results show that both of the stochastic volatility models have superior performances in the in-sample and out-sample analysis. The Generalized Autoregressive Conditional Heteroscedasticity type discrete model shows surprisingly poor results both in the in-sample and out-sample analysis. The results indicate that option data should be used instead of historical return data to estimate the model’s parameters. This thesis also provides an insight on why overnight-index-swap (OIS) rates should be used instead of LIBOR rates as a proxy for the risk-free rate.
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O'Brien, Fergal G. "An Empirical Investigation of FTSE 100 ESX and S&P 500 SPX Equity Index Option Returns." Thesis, Lancaster University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.518138.
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Alhnaity, Bashar. "Financial engineering modelling using computational intelligent techniques : financial time series prediction." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/13652.
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Prediction of financial time series is described as one of the most challenging tasks of time series prediction, due to its characteristics and dynamic nature. In any investment activity, having an accurate prediction system will significantly benefit investors by guiding decision making, especially in trading, asset management and risk management. Thus, the attempts to build such systems have attracted the attention of practitioners in the market and also researchers for many decades. Furthermore, the purpose of this thesis is to investigate and develop a new approach to predicting financial time series with consideration given to their dynamic nature. In this thesis, the prediction procedures will be carried out in three phases. The first phase proposes a new hybrid dynamic model based on Ensemble Empirical Mode Decomposition (EEMD), Back Propagation Neural Network (BPNN), Recurrent Neural Network (RNN), Support Vector Regression (SVR) and EEMD-Genetic Algorithm (GA)-Weighted Average (WA) to predict stock index closing price. EEMD in this phase is introduced as a preprocessing step to historical observation for the first time in the literature. The experimental results show that the EEMDD-GA-WA model performance is a notch above the other methods utilised in this phase. The second phase proposes a new hybrid static model based on Wavelet Transform (WT), RNN, Support Vector Machine (SVM), Nave Bayes and WT-GA-WA to predict the exact change of the stock index closing price. In this phase, the experimental results showed that the proposed WT-GA-WA model outperformed the rest of the models utilised in this phase. Moreover, the input data that are fed into the hybrid model in this phase are technical indicators. The third phase in this research introduces a new Hybrid Heuristic-Rules-based System (HHRS) for stock price prediction. This phase intends to combine the output of the hybrid models in phase one and two in order to enhance the final prediction results. Thus,to the best of our knowledge, this study is the only one to have carried out and tested this approach with a real data set. The results show that the HHRS outperformed all suggested models over all the data sets. Thus, this indicates that combining di↵erent techniques with diverse types of information could enhance prediction accuracy.
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Kiselev, Ilya. "Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-19495.
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The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). According to the results, it was found that at the current phase of markets’ development, it is theoretically possible for algorithmic trading (and especially high-frequency strategies) to exceed the returns of index strategy, but we should note two important factors: 1) Taking into account all of the costs of organization of high-frequency trading (brokerage and stock exchanges commissions, trade-related infrastructure maintenance, etc.), the difference in returns (with superiority of high-frequency strategy) will be much less . 2) Given the fact that “markets’ efficiency” is growing every year (see more about it further in thesis), and the returns of high-frequency strategies tends to decrease with time (see more about it further in thesis), it is quite logical to assume that it will be necessary to invest more and more in trading infrastructure to “fix” the returns of high-frequency trading strategies on a higher level, than the results of index investing strategies.
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Tabner, Isaac T. "The relationship between concentration and realised volatility : an empirical investigation of the FTSE 100 Index January 1984 through March 2003." Thesis, University of Stirling, 2005. http://hdl.handle.net/1893/79.
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Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios, such as the FTSE 100. Instead, previous research has focused upon diversification across industries, across geographic regions and across different firms. The present study addresses this imbalance by calculating the daily time series of four concentration metrics for the FTSE 100 Index over the period from January 1984 through March 2003. In addition, the value weighted variance covariance matrix (VCM) of daily FTSE 100 Index constituent returns is decomposed into four sub-components: two from the diagonal elements and two from the off-diagonal elements of the VCM. These consist of the average variance of constituent returns, represented by the sum of diagonal elements in the VCM, and the average covariance represented by the sum of off-diagonal elements in the VCM. The value weighted average variance (VAV) and covariance (VAC) are each subdivided into the equally weighted average variance (EAV) the equally weighted average covariance (EAC) and incremental components that represent the difference between the respective value-weighted and equally weighted averages. These are referred to as the incremental average variance (IAV) and the incremental average covariance (IAC) respectively. The incremental average variance and the incremental average covariance are then combined, additively, to produce the incremental realised variance (IRV) of the FTSE 100 Index. The incremental average covariance and the incremental realised variance are found to be negative during the 1987 crash and the 1992 ERM crisis. They are also negative for a substantial part of the study period, even when concentration was at its highest level. Hence the findings of the study are consistent with the notion that the value weighted, and hence concentrated, FTSE 100 Index portfolio is generally less risky than a hypothetical equally weighted portfolio of FTSE 100 Index constituents. Furthermore, increases in concentration tend to precede decreases in incremental realised volatility and increases in the equally weighted components of the realised VCM. The results have important implications for portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to passive investors concerned about the effects of increased concentration upon their benchmark indices, and to providers of stock market indices.
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Er, Hakan. "Cross market arbitrage and option pricing with long memory in volatility : theory and evidence from LIFFE FTSE-100 index futures and options." Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.391536.
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Holmes, Richard Roland. "The economics of stock index futures : theory and evidence." Thesis, Brunel University, 1993. http://bura.brunel.ac.uk/handle/2438/5391.
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This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.
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Buwembo, Mark. "An investigation into the relevance of international portfolio diversification from a South African perspective." University of the Western Cape, 2020. http://hdl.handle.net/11394/7363.
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Magister Commercii - MComDiversification is one of the more familiar concepts in finance because of its ability to curtail risk towards investors. However, for diversification to be efficient, the assets combined should have inversely related price movements. In the same light, previous research done on international portfolio diversification has consistently found that having investments diversified across different global markets that have low to medium correlations helps to get as close to an optimal portfolio as possible. However, previous research also indicates that both global financial integration and exogenous shocks increase correlations among international markets, hence negating the benefits of international portfolio diversification to an extent. Therefore, with global integration on the rise, coupled with economic and political instability in some BRICS nations, the research examines these factors and gauges the current viability of international portfolio diversification from the perspective of a South African investor.
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Daya, Wael, Khelifa Mazouz, and Mark C. Freeman. "Information efficiency changes following FTSE 100 index revisions." 2012. http://hdl.handle.net/10454/5954.
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This study examines the impact of FTSE 100 index revisions on the informational efficiency of the underlying stocks. Our study spans the 1986–2009 period. We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). We report a significant improvement (no change) in the informational efficiency of the stocks added to (deleted from) the FTSE 100 index. The asymmetric effect of additions and deletions on informational efficiency can be attributed, at least partly, to certain aspects of liquidity and other fundamental characteristics, which improve following additions but do not diminish after deletions. Cross-sectional analysis also indicates that stocks with low pre-addition market quality benefit more from joining the index.
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Mazouz, Khelifa, and B. Saadouni. "The price effects of FTSE100 index revision: What drives the long-term abnormal return reversal?" 2007. http://hdl.handle.net/10454/3880.
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NoWe examine short- and the long-term price effect associated with the FTSE 100 index revisions. We control for both heteroskedastic nature of the residual and the change, between the estimation and the test period, in the beta coefficient of the standard market model. Our findings reveal no relationship between the long-term price reversals and the change in the discount rate, as approximated by the beta coefficient of the market model. Overall, we provide strong evidence in favour of the price pressure hypothesis, where the price increase (decrease) gradually starting before the announcement an inclusion (exclusion) and reverses completely in less than two weeks after the index revision date.
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Yu, Hsuan-Yi, and 游瑄宜. "Forecasting Intraday Profits Using FTSE 100 Index Options." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/94683753772950526383.
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碩士國立中正大學
財務金融所
95
This paper is intended to explore a way to make money with different views. We expect that it has certain rules and can be followed. Besides, we anticipate that there are some arbitrage chances existing in it. The purpose of this paper is to forecast intraday profits and distant tests by using FTSE 100 Index Options. Using FTSE 100 index options prices over the period January 2, 2003 to December 31, 2004, we discuss several option pricing models which are the BS, the SV, and the SVJ models. We will make intraday trading and then we can make a 3D surface plot of (average) trading profits for day t, (average) return of FTSE 100 the previous day, and (average) % pricing errors. The X-axis should be the FTSE 100 return for the previous day, the Y-axis would be % pricing errors, and the Z-axis would be the trading profit for day t. We expect to find out the relationship between these variables. In our sample fit, the smaller RMSE value is better. The SVJ model has the best performance, the next is the SV model and the BS model is the worst. Whether classify our trading data with moneyness or not, we can find that if options overpriced by the candicate pricing model, we will adapt the “Sell” strategy. We can make profits when FTSE 100 Return (t-1) falls into the range between -0.02 to 0.02. If options underpriced, we will adapt the “Buy” strategy. We can make profits when falls into the range between -0.06 to -0.02 and the range between 0.02 to 0.06. It can be said that we can make money from intraday trading when FTSE 100 Return (t-1) far from zero.The empirical results are consistant to the previous study in 1970’s. Therefore, FTSE 100 Return (t-1) also can be an important indicator.
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Tavares, Diogo Filipe Lima. "Tests of intraday trading rules for the FTSE-100 index." Master's thesis, 2017. http://hdl.handle.net/1822/46508.
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Dissertação de mestrado em FinançasThe history of scientific research on the matter of the behavior of investors goes as far as the 16th century. However, most scrutiny and accomplishments occurred in the past century, and for most of that period the great debate has been centered on the question of market efficiency. The discussion has started in the 1960s and until this day there is still debate. Accordingly, in this study, I investigate if there is a technical trading rule, from a set of well-known trading rules, which can generate abnormal returns on the intraday data from the FTSE 100 Index from the period starting in January 2000 to December 2010. In other words, I try to attest for the validity of the weak form of the Efficient Market Hypothesis (EMH). More precisely, I define and implement 5680 trading rules that use past information and test if they provide abnormal returns, testing the statistical significance of the results with the Superior Predictive Ability (SPA) test by Hansen (2005). In that regard, the study allow to confirm the validity of the weak form of the EMH, since no tested rule can systematically outperform a buy and hold strategy. This result comes as no surprise considering the results achieve by similar studies, such as Marshall et al. (2008) Bajgrowicz and Scaillet (2012), Duvignage et al. (2013) and Chaboud et al. (2014). These results contrast with other studies that also use trading rules with intraday data and refute the EMH. However their conclusions were not based on robust tests to data snooping. In addition, further conclusions can be traced considering the duration and number of trades. The less time a portfolio is on the market for a given rule, the better is its performance. This can be indicative that the rules tested don’t generate value on their own merits, instead their results may simply be due to luck and to a small exposure to the market.
O início da história do conhecimento científico relativo ao comportamento do investidor é datado ao século XVI. Contudo, somente no último século o assunto tem vindo a ser alvo de maior atenção, e na maior parte desse período tem-se debatido a questão da eficiência dos mercados. A discussão começou na década de 60 e ainda hoje se debate. Por consequência, neste estudo tento investigar a existência de uma técnica de transação de um conjunto de técnicas, pertencentes à análise técnica, de conhecimento prévio e bem documentadas na literatura, que consiga gerar rendibilidades anormais nos dados intradiários do índice FTSE 100, no período com inicio em Janeiro de 2000 e término em Dezembro de 2010. Em detalhe, foram definidas e implementadas 5680 regras de transação que usam informação histórica, testando se geram rendibilidades anormais com o recurso ao teste SPA de Hansen (2005). Nesse sentido, o estudo permitiu confirmar a validade da forma fraca da teoria dos mercados eficientes, uma vez que nenhuma regra testada conseguiu, sistematicamente, bater o mercado. Este resultado não é de todo uma surpresa considerando os resultados obtidos por estudos do género, por exemplo Marshall et al. (2008) Bajgrowicz e Scaillet (2012), Duvignage et al. (2013) e Chaboud et al. (2014). Esses resultados contrastam com outros estudos que também usaram regras de transação com dados intradiários e refutaram a teoria dos mercados eficientes. Contudo, essas conclusões não se fundamentaram em testes de robustez ao snooping dos dados. Adicionalmente, podem-se presumir ulteriores conclusões tendo em consideração a duração e o número de transações. Quanto menor o tempo de exposição do portfolio no mercado para uma determinada regra, melhor é a sua performance. Isto pode ser sinal de que as regras testadas não conseguem gerar valor por si só, pelo contrário, os seus resultados parecem ser obtidos de uma combinação de aleatoriedade e pouca exposição ao mercado.
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Chen, Shang-wun, and 陳尚文. "Trading FTSE 100 Index Options Using Skewness and Variable-kurtosis model with Past Index Return." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/13074411383092376080.
Full textAbstract:
碩士國立中正大學
財務金融所
96
The purpose of this paper is to provide a profitable trading strategy for intraday trading. We consider the pricing errors, past index return and profits to do the 3D analysis to construct our trading rules. Using the five models which are the BS model, the generalized t (GT) model, the skewed normal (SN) model, the stochastic-volatility (SV) model, and the stochastic-volatility random-jump (SVJ) model, we examine the profits of trading the FTSE 100 call options across different moneyness. We find that there exit profitable opportunities even in the presence of transaction costs. This is evident for the at-the-money (ATM) options. We also investigate the economic significance of each model using the distance tests. The results show that the SVJ model is more consistent with the general criterion of utility maximization and optimal portfolio selection.
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Chou, Wen-Liu, and 周文陸. "Parametric Estimation of State-Price Densities in FTSE 100 Index Ftures Options." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/823vd2.
Full textAbstract:
碩士國立中正大學
財務金融研究所
90
This article examines an option pricing model based on state-price density (SPD) modeled by a four-parameter skewed generalized t (SGT) distribution on FTSE 100 index futures options. It is found that the skewness-kurtosis model performs best in out-of-the-money and in-the-money. Modeling skewness is much more important than modeling kurtosis. Modeling both eliminates the Black-Scholes volatility smile. These results support the use of a parsimonious model of SPD. In terms of hedging, modeling skewness and kurtosis do not seem to improve the BS model’s hedging performance further. We also compare the SPD model with the ad hoc BS model of DFW (1998) and the GARCH model of Heston and Nandi (2000). We find that the ad hoc BS model performs the best in in-sample fit and out-of-sample pricing. In terms of hedging, the GARCH model results in significantly lower hedging error. We use the Henriksson-Merton test of market timing ability and the Henriksson-Merton test in a regression framework to examine this dimension of forecast performance. According to the two tests, the GT model performs the best. We find that modeling kurtosis is important in forecast.
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Silva, Manuela Margarida da Costa. "Modelação e previsão de um índice financeiro (FTSE 100)." Master's thesis, 2016. http://hdl.handle.net/10400.2/5419.
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A presente dissertação visa uma aplicação de séries temporais, na modelação do índice
financeiro FTSE100. Com base na série de retornos, foram estudadas a estacionaridade
através do teste Phillips-Perron, a normalidade pelo Teste Jarque-Bera, a independência analisada pela função de autocorrelação e pelo teste de Ljung-Box, e utilizados modelos GARCH, com a finalidade de modelar e prever a variância condicional (volatilidade) da série financeira em estudo.
As séries temporais financeiras apresentam características peculiares, revelando períodos mais voláteis do que outros. Esses períodos encontram-se distribuídos em clusters, sugerindo um grau de dependência no tempo. Atendendo à presença de tais grupos de volatilidade (não linearidade), torna-se necessário o recurso a modelos heterocedásticos condicionais, isto é, modelos que consideram que a variância condicional de uma série temporal não é constante e dependente do tempo.
Face à grande variabilidade das séries temporais financeiras ao longo do tempo, os
modelos ARCH (Engle, 1982) e a sua generalização GARCH (Bollerslev, 1986) revelam-se os mais adequados para o estudo da volatilidade. Em particular, estes modelos não lineares apresentam uma variância condicional aleatória, sendo possível, através do seu estudo, estimar e prever a volatilidade futura da série.
Por fim, é apresentado o estudo empírico que se baseia numa proposta de modelação e
previsão de um conjunto de dados reais do índice financeiro FTSE100.This dissertation aims at applying time series in modeling the financial index FTSE100. Based on the series of returns, were test undertaken for stationary behavior, applying the Phillips-Perron test, the unconditional distribution applying the Jarque-Bera Test, independence test was analyzed using the autocorrelation function and the Ljung-Box test, and used GARCH, in order to model and predict the conditional variance (volatility) of the financial series under study. Financial time series demonstrates peculiar characteristics, revealing the existence of more volatile periods than others. These periods are distributed in clusters, suggesting a degree of dependency on time. Given the presence of such volatility groups (non-linearity), it becomes necessary to resort to heteroscedastic conditional models, i.e. models that consider that the conditional variance of a time series is not constant and not time dependent. Given the high variability of the financial time series along the time, ARCH (Engle, 1982) and its generalization GARCH (Bollerslev, 1986) revealed that these are the most suited for the study of volatility. In particular, the non-linear models feature a random conditional variance, which is possible, to study its impact and estimate and predict future volatility of the series. Finally, the empirical study is based on a proposal for modeling and prediction of a set of real data from financial index FTSE100 is displayed.
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HUANG, YU-CHIA, and 黃郁佳. "The Effectiveness of Bollinger Bands Strategies: FTSE TWSE Taiwan Mid-Cap 100 Index." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/gjn2gw.
Full textAbstract:
碩士東海大學
財務金融學系碩士在職專班
106
In this paper we analyze the Bollinger Bands (B-Bands) to verify whether Taiwan stocks have the possibility of obtaining abnormal returns. Our samples consist of FTSE TWSE Taiwan Mid-Cap 100 Index. Data from September 1st 2012 to September 30 2017. We use paired sample t-test to compare the effectiveness. In this research, Bollinger Bands are considered as the main tool, coordinating with other technical indicators such as moving average, moving standard deviation to build a variety of stock trading systems. We also uses the squeeze, the bandwidth and extreme indicator of B-Bands to build the Volatility-Breakout Systems.
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Miller, Craig Elie. "The market impact on shares entering or leaving JSE indices." Diss., 2012. http://hdl.handle.net/2263/26517.
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This study attempts to measure the effects on the share price of companies entering and exiting four FTSE/JSE indices; the J200, J210, J213 and J260. While results showed only weak statistical significance, systematic patterns were observed during the event window. Share prices of companies entering and exiting value weighted indices responded consistently with the investor awareness hypothesis. Share prices of companies entering and exiting indices weighted by fundamental factors responded consistently with the information hypothesis. The cumulative average abnormal returns (CAARs) were permanent and did not reverse within the first 200 days after the index change for all indices. Abnormal returns were calculated by using the market model and a one factor CAPM model. The market model was a superior benchmark in this study. This study found that the CAARs for index changes became positive only after the date of the index change. This implies that either the effect of passive index funds on the JSE is not significant, or that passive funds are allowed to incur tracking errors in order to trade strategically to secure the best price for a reconstituted portfolio. This conclusion is supported by the fact that there was no observable change in the index premium over time. The findings of this study may indicate market inefficiency, which means that arbitrage opportunities may exist around index changes.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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林岳賢. "Volatility Risk Premium in Delta-Hedged Gains—Empirical Study of the Case of FTSE 100 Index Options." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/04754091467221378822.
Full textAbstract:
碩士國立臺灣科技大學
財務金融研究所
92
Based on the research by Bakshi and Kapadia (2003), this study indicates that a negative volatility risk premium may exist in the index option market, thus providing an explanation of why option prices become more expensive and why Black-Scholes implied volatility is greater than realized volatility. We examine the empirical implication of volatility risk premium on FTSE 100 equity index options by the statistical properties of delta-hedged option portfolios. Moreover, we test the implication by relatively econometric specifications in either the cross section of option strikes or in the time series. Thus we provide the following general results. First, the delta-hedged strategy underperforms zero. Second, the underperformance of options away from the money is less. Third, during periods of higher volatility, the underperformance of the delta-hedged portfolio is getting worse. Fourth, volatility significantly affects delta-hedged gains even after accounting for skewness and kurtosis.
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Lin, Ting-Chiu, and 林庭玖. "The Best Choice of Measuring Liquidity of FTSE TWSE Taiwan Mid-Cap 100 Index-Evidence from Post Financial Crisis Era." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/39375651765428793080.
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碩士國立中興大學
會計學研究所
105
This study explores the best way to measure Taiwan''s mid-cap 100-index liquidity, and further measure the remuneration of Taiwan''s mid-cap 100 index. In this paper, the relationship between liquidity and volatility is deduced by the relationship between liquidity and volatility, and the volatility is used as the proxy variable of remuneration. The time series method is used to establish the forecasting model and observe the interaction between volatility and liquidity as Taiwan''s mid-cap 100 index compensation forecast. This study examines the relationship between the liquidity and remuneration of Taiwan''s mid-cap 100 index in the period from January 2, 2008 to December 31, 2016. The empirical results show that the turnover rate is the most predictable measure of the mid-cap 100 index market in Taiwan. The reason may be the relationship between the relevant in measure of liquidity and the nature of the mid-cap 100 index in Taiwan.
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Lee, Chiao-Mi, and 李巧蜜. "A Study of Grey Theory on Improving the Investment Performance of Technical Analysis Index－An Example of the London FTSE 100 Index’s Component Stocks." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/84725411646176083975.
Full textAbstract:
碩士國立屏東科技大學
企業管理系所
97
This study uses a grey forecasting model GM(1,1) on technical analysis of securities market using the FTSE 100 Index’s component stocks for example. Four stocks price technical analysis indexes as BIAS, RSI, W%R and KD are used in this study. The daily, weekly and monthly closing stock prices from July 2000 to December 2007 (after the weight is undone) are adopted as the sample data. This study try to apply GM(1,1) into the raw data to obtain a the whitening one. An empirical result and a t-test of average rate of return were used in performance evaluation. The results show that eleven of twelve technical analysis indexes can improve the performance of investment over 50% than classic ones. And especially monthly-BIAS, daily-W%R, weekly- W%R and monthly- KD can improve the performance of investment over 60%. The post-GM(1,1) treatment of technical analysis can’t obtain extra profit than buy and hold strategy. The efficient market hypothesis (EMH) in London stocks market cannot be rejected. But obviously the results find that the performance of investment of post-GM(1,1) treatment were better than those of pre-GM(1,1) treatment. And the investors in Great Britain can use the technical analysis indexes of post-GM(1,1) treatment to obtain higher investment returns.