The impact of index futures trading on the betas of the underlying constituent stocks. The case of Hong Kong

A varying risk market model, which captures the potential differential return premiums between recessions and expansion, is employed to test the change of beta coefficients of the HSI constituent stocks after the HSI futures trading. Unlike the results in earlier literature describing studies of the...

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Bibliographic Details
Published in:Journal of international financial markets, institutions & money institutions & money, 1999, Vol.9 (1), p.97-114
Main Authors: Kan, Andy C.N., Tang, Gordon Y.N.
Format: Article
Language:English
Subjects:
Beta
Constituent stock
Data analysis
Futures
Hong Kong
Index future
Portfolio management
Risk
Sampling
Securities issues
Stock exchange
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Summary:A varying risk market model, which captures the potential differential return premiums between recessions and expansion, is employed to test the change of beta coefficients of the HSI constituent stocks after the HSI futures trading. Unlike the results in earlier literature describing studies of the US markets, this study shows that the creation of the index futures in an emerging market does not necessarily increase the systematic risk of is underlying stocks.
ISSN:1042-4431
1873-0612
DOI:10.1016/S1042-4431(98)00037-7