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 …

One of the most spectacular successes in financial innovation since the advent of financial
futures is probably the creation of exchange traded funds (ETFs). As index funds, they aim at …

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …

This paper presents an empirical comparison of the out of sample hedging performance
from naïve and minimum variance hedge ratios for the four largest US index exchange …

This study examines the pricing efficiency for the leading cryptocurrency, Bitcoin using spot
prices and all CBOE and CME futures contracts traded from January 2018 to March 2019 …

This study examines factors affecting stock index spot versus futures pricing and arbitrage
opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's …

The first and to date the only Taiwanese exchange traded fund (ETF), the Taiwan Top 50
Tracker Fund (TTT), was introduced in June 2003 and used the Taiwan 50 Index as its …

This paper examines the impact of the introduction of the Nasdaq‐100 Index Tracking Stock
(referred to as Cubes) on the pricing relationship between Nasdaq‐100 futures and the …

This paper investigates the role of basket securities in the efficient price formation process of
individual component securities. The study focuses on one type of basket security, exchange …

Owing to the growing importance of the Taiwan Top 50 Tracker Fund (TTT), the first and the
only Taiwanese Exchange Traded Fund (ETF), this study investigates the change in the …