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Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence /
Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued th...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin ; New York :
W. de Gruyte,
1986.
|
| Colección: | Series D--Economics ;
1. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Kobold, Klaus. | |
| 245 | 1 | 0 | |a Interest rate futures markets and capital market theory : |b theoretical concepts and empirical evidence / |c by Klaus Kobold. |
| 260 | |a Berlin ; |a New York : |b W. de Gruyte, |c 1986. | ||
| 300 | |a 1 online resource (xvi, 321 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a Series D--Economics = |a Economiques ; |v 1 | |
| 504 | |a Includes bibliographical references (pages 309-321). | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a INTRODUCTION -- General Area of Interest -- Purpose of Research -- Outline -- CHAPTER I: THE INTEREST RATE FUTURES MARKET -- 1. DESCRIPTION OF FUTURES MARKETS -- 1.1. Characteristics of Futures Contracts and Markets -- 1.2. Consequences of these Characteristics -- 1.3. Contracts Traded -- 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS -- 2.1. Hedging -- 2.2. Speculation -- 2.3. Arbitrage -- 2.4. Spreading -- CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- 1. CLASSICAL PORTFOLIO THEORY -- 1.1. Objectives and Assumptions | |
| 505 | 8 | |a 1.2. Decision Criteria1.3. Efficient Portfolios -- 1.4. The Optimal Portfolio -- 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING -- 2.1. The Portfolio Theory of Hedging -- 2.2. The Individual Agent�s Optimal Position in Futures Markets -- 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER -- 3.1. Hedging a Single Asset -- 3.2. Hedging a Single Asset as Part of a Portfolio -- 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio -- 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION | |
| 505 | 8 | |a 4.1. Markets and Periods Investigated4.2. Representative Indicator for the Cash Market -- 4.3. Calculating Return and Variance -- 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio -- 5. RESULTS OF THE EMPIRICAL INVESTIGATION -- 5.1. Effects of Hedging on Risk and Return of Single Positions -- 5.2. Effects of Hedging on Risk and Return of Portfolios -- 5.3. Analysis of Hedging Effectiveness -- 5.4. Analysis of Optimal Hedge Ratios -- 5.5. Evaluation of Results -- CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL | |
| 505 | 8 | |a 1. THEORETICAL BASIS1.1. The Single-Index Model -- 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing -- 1.3. Market Equilibrium: The Capital Asset Pricing Model -- 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL -- 2.1. Risk of Interest-Bearing Securities -- 3. EMPIRICAL INVESTIGATION -- 3.1. Technical Aspects -- 3.2. Empirical Results -- 3.3. Evaluation of Results -- CHAPTER IV: SUMMARY AND CONCLUSIONS -- 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS | |
| 505 | 8 | |a 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY2.1. Informational Situation -- 2.2. Volatility of Interest Rates -- 2.3. Capital Market Efficiency -- BIBLIOGRAPHY | |
| 546 | |a English. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 520 | 3 | |a Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk. | |
| 533 | |a Electronic reproduction. |b [Place of publication not identified]: |c HathiTrust Digital Library. |d 2021. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2021. |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Interest rate futures. | |
| 650 | 0 | |a Capital market. | |
| 650 | 0 | |a Hedging (Finance) | |
| 650 | 0 | |a Portfolio management. | |
| 650 | 6 | |a Marchés à terme de taux d'intérêt. | |
| 650 | 6 | |a Marché financier. | |
| 650 | 6 | |a Couverture (Finances) | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Interest. |2 bisacsh | |
| 650 | 7 | |a Capital market |2 fast | |
| 650 | 7 | |a Hedging (Finance) |2 fast | |
| 650 | 7 | |a Interest rate futures |2 fast | |
| 650 | 7 | |a Portfolio management |2 fast | |
| 776 | 0 | 8 | |i Print version: |a Kobold, Klaus. |t Interest rate futures markets and capital market theory. |d Berlin ; New York : W. de Gruyte, 1986 |z 0899251781 |w (DLC) 86009001 |w (OCoLC)13525554 |
| 830 | 0 | |a Series D--Economics ; |v 1. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3041785 |z Texto completo |
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