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003			OSt
005			20180612123652.0
008			180611b ||||| |||| 00| 0 eng d
100			_aSlivka, Ronald T. _931748
245			_aStock Index Futures Rollover Strategies : An Empirical Study of Four Countries
300			_a7-24 P.
520			_aDespite 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			_aRollover Strategy
653			_aCalendar Spreads
653			_aStock Index Futures
653			_aRoll Yield,
653			_aFTSE 100,
653			_a S&P 500,
653			_aA50
700			_aQin, Han _931749
700			_aYe, Kai _931750
773	0		_029384 _970731 _aGILANI,S. _o5558793 _tINDIAN JOURNAL OF FINANCE _x0973-8711
942			_2ddc _cJA-ARTICLE