Stock Index Futures Rollover Strategies : An Empirical Study of Four Countries (Record no. 49922)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01535nam a2200253 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20180612123652.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180611b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Slivka, Ronald T. |
| 9 (RLIN) | 31748 |
| 245 ## - TITLE STATEMENT | |
| Title | Stock Index Futures Rollover Strategies : An Empirical Study of Four Countries |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 7-24 P. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Despite dominating transaction volume near expiration, futures rollover transactions have been little studied in developed markets or in developing markets. In this study, daily intra-market stock index futures calendar spread data for the U.S., UK, India, and China markets covering 2016 expirations formed the basis for comparing two commonly employed rollover strategies with newly devised optimal strategies based upon maximizing spread liquidity or minimizing volatility. For large positions, the optimal strategy consistently outperformed standard practitioner strategies in all four markets. For smaller initial futures positions, no performance differences between strategies were expected or found. The study also discussed practical guidelines for rolling futures positions and further research directions. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Rollover Strategy |
| Uncontrolled term | Calendar Spreads |
| Uncontrolled term | Stock Index Futures |
| Uncontrolled term | Roll Yield, |
| Uncontrolled term | FTSE 100, |
| Uncontrolled term | S&P 500, |
| Uncontrolled term | A50 |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Qin, Han |
| 9 (RLIN) | 31749 |
| Personal name | Ye, Kai |
| 9 (RLIN) | 31750 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29384 |
| Host Itemnumber | 70731 |
| Main entry heading | GILANI,S. |
| Other item identifier | 5558793 |
| Title | INDIAN JOURNAL OF FINANCE |
| International Standard Serial Number | 0973-8711 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 11/06/2018 | Vol 12, Issue 5/ 5558793JA1 | 5558793JA1 | 11/06/2018 | 11/06/2018 |