Intraday return predictability, portfolio maximisation, and hedging
Data(s) |
01/09/2016
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Resumo |
We examine whether intraday Chinese return predictability is linked to optimal portfolio holding and hedging. We find that: (1) S&P500 futures returns only predict Chinese spot market returns in up to 5-minute of trading with predictability disappearing at higher frequencies of trade; (2) the portfolio weight is maximised at the 5-minute trading frequency, when predictability is the strongest; and (3) when predictability is the strongest, significantly less shorting of the futures is required to minimise risk when a long position is taken in the Chinese market. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30088609/narayan-intradayreturn-2016.pdf http://www.dx.doi.org/10.1016/j.ememar.2016.08.017 |
Direitos |
2016, Elsevier |
Palavras-Chave | #futures #Chinese stock returns #predictability #intraday data #Social Sciences #Business, Finance #Economics #Business & Economics #STOCK INDEX FUTURES #EQUITY PREMIUM PREDICTION #PRICE DISCOVERY #TRADING COSTS #MARKET #VOLATILITY #GOLD #INFORMATION #PERFORMANCE #COMMODITY |
Tipo |
Journal Article |