ABSTRACT

The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

part 1|50 pages

Preliminaries

chapter 1|15 pages

Stock Market Indices

chapter 2|32 pages

Introduction to Futures Trading

part 2|95 pages

Arbitrage

chapter 4|28 pages

Arbitrage in Practice

chapter 5|33 pages

Arbitrage and Relaxing the Assumptions

part 3|103 pages

Prices

chapter 6|50 pages

Basis, Spreads and the Risk Premium

chapter 7|21 pages

Maturity, Price Volatility and Volume

chapter 8|29 pages

Market Efficiency

part 4|85 pages

Uses

chapter 9|48 pages

Hedging

part 5|89 pages

Others

chapter 12|41 pages

Further Topics in Index Futures