Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Kobold, Klaus
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin ; New York : W. de Gruyte, 1986.
Colección:Series D--Economics ; 1.
Temas:
Interest rate futures.
Capital market.
Hedging (Finance)
Portfolio management.
Marchés à terme de taux d'intérêt.
Marché financier.
Couverture (Finances)
Gestion de portefeuille.
BUSINESS & ECONOMICS > Interest.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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
  • 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 Agentâ€?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
  • 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
  • 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
  • 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

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