Stock Index Futures

Charles M.S. Sutcliffe

• Publisher: Routledge
• Year: 2018
• eBook ISBN: 9781351148542
• Edition: 3
• Topic: Business
• Subtopic: Business General
• Index: Business

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.

Abbreviations

• ACCESS American Computerized Commodity Exchange System and Services (Nymex)
• ADR American Depository Receipt
• AFBD Association of Futures Brokers and Dealers (UK, part of the SFA from April 1991)
• AFFM Australian Financial Futures Market
• AFM Amsterdam Futures Market
• AIM Alternative Investment Market (LSE, began on 19th June 1995)
• AMEX American Stock Exchange (New York)
• AMVI AMEX Market Value Index
• AOI All Ordinaries Index (Australia)
• APS Average Price System (CME)
• APT Automated Pit Trading (Euronext.Liffe; began in November 1989)
• ARCH Autoregressive Conditional Heteroscedastic model
• ARIMA Autoregressive Integrated Moving Average process
• ARMA Autoregressive Moving Average process
• ASX Australian Stock Exchange (Sydney)
• ATOM Automated Trading and Order Matching system (APT, Euronext.Liffe)
• ATS Automated Trading System (LCE, IFOX and NZFOE)
• ATX Austrian Traded Index (ÖTOB)
• AUDIT Automated Data Input Terminal (CBOT)
• BBdeF Bolsa Brazileira de Futuros
• BDP Bolsa de Derivados do Porto (Portugal)
• BELFOX Belgian Futures and Options Exchange (Brussels)
• BFE Baltic Futures Exchange (London, merger with London FOX on 2nd January 1991)
• BIFFEX Baltic International Freight Futures Exchange (Division of BFE)
• BIS Bank for International Settlements (Basle)
• BM&F Bolsa de Mercadorias & Futuros (Sao Paulo, Brazil)
• Bobl Bundesobligation
• BOTCC Board of Trade Clearing Corporation (CBOT)
• BTP Buoni del Tesoro Poliennali (Italian Government Bonds)
• CAC Compagnie des Agents de Change (France)
• CAPM Capital Asset Pricing Model
• CAPS Combined Actuarial Performance Services Limited (UK)
• CAR Cumulative Abnormal Residual
• CATS Computer Assisted Trading System (Toronto SE)
• CBOE Chicago Board Options Exchange
• CBOT Chicago Board of Trade
• CD Certificate of Deposit
• CDR Collateralized Depository Receipt
• CFD Contract for Difference
• CFTC Commodity Futures Trading Commission (US)
• CIP Capital International Perspective
• CLOB Central Limit Order Book (Singapore)
• CME Chicago Mercantile Exchange
• COMEX Commodity Exchange Inc. (New York, merged with NYMEX on 3rd August 1994)
• CORES-F Computer Assisted Order Routing and Execution System for Futures (Tokyo SE)
• CPEN Capital Protected Equity Note
• CPPI Constant Proportion Portfolio Insurance
• CPS Clearing Processing System (Euronext.Liffe)
• CRSP Centre for Research in Security Prices (Chicago)
• CTA Commodity Trading Adviser
• CTG Commodity Traders Group (UK)
• CTX Czech Traded Index (ÖTOB)
• CUSUM Cumulative Sum
• DAR Dollars At Risk (CME)
• DAX Deutscher Aktienindex (German stock index)
• DIBOR Dublin Interbank Offered Rate
• DJIA Dow Jones Industrial Average (US)
• DOT Designated Order Turnaround (NYSE)
• DTB Deutsche TerminBörse (Frankfurt)
• E100 Eurotop 100 index
• ECM Error Correction Mechanism
• ECOFEX European Community Options and Futures Exchanges
• ECU European Currency Unit
• EDSP Exchange Delivery Settlement Price
• EFP Exchange For Physicals
• EGARCH Exponential GARCH
• EMFA European Managed Futures Association
• EOE European Options Exchange (Amsterdam)
• ERISA Employee Retirement Income Security Act 1974 (US)
• ESP Exchange Stock Portfolio (NYSE, introduced on 26th October 1989)
• ETF Exchange Traded Fund
• FAST Fast Automated Screen Trading (LCE)
• FCM Futures Commission Merchant
• FCOJ Frozen Concentrated Orange Juice
• FEX First European Exchange (OMLX and EOE)
• FFM Financial and Futures Market (Netherlands)
• FIA Futures Industry Association (US)
• FINEX Financial Instrument Exchange (Division of the NYCE)
• FLI Fifty Leaders Index (Australia)
• FOF Futures and Options Fund (UK)
• FOM Finnish Options Market
• FORCE Futures and Options Real-Time Computer Environment (Euronext.Liffe)
• FOX London Futures and Options Exchange (LCE from 1st July 1993)
• FOX Finnish Options Index
• FSA Financial Services Authority (UK)
• FT-A Financial Times - Actuaries All Share index (UK)
• FTA Financiële Termijnmarkt Amsterdam (Financial Futures Market, a division of EOE)
• FTO Financial Times Ordinary index (UK)
• FT/S&P-AWI Financial Times/S&P- Actuaries World Index (UK)
• FTSE Financial Times - Stock Exchange index (UK)
• FUTOP Guarantee Fund Danish Futures and Options Exchange (Copenhagen)
• GARCH Generalized Autoregressive Conditional Heteroscedastic model
• GARCH-M GARCH in Means
• GDP Gross Domestic Product
• GEM Growth and Emerging Markets (a division of the CME from 2nd December 1995)
• GEMx German Equity Market Index
• GFOF Geared Futures and Options Fund (UK)
• GNMA Government National Mortgage Association (US)
• GRB Guaranteed Return Bond
• GSCI Goldman Sachs Commodity Index (CME)
• HIBOR Hong Kong Interbank Offered Rate
• HIPs TSE 100 Index Participation Units (TSE, launched in October 1995)
• HKFE Hong Kong Futures Exchange
• HTX Hungarian Traded Index (ÖTOB)
• IBIS Integriertes Börsenhandels und Informationssystem (Integrated Stock Exchange Trading and Information System, Germany)
• ICCH International Commodities Clearing House
• ICE International Commodities Exchange (Atlanta)
• IDB Inter Dealer Broker
• IDEM Italian Equity Derivatives Market (Milan)
• IFOX Irish Futures and Options Exchange (Dublin)
• IMM International Monetary Market (Division of the CME)
• INTEX International Futures Exchange of Bermuda
• IOM Index and Options Market (Division of the CME)
• IOSCO International Organisation of Securities Commissioners
• IPC Índice de Precios y Cotizaciones (Mexico)
• IPE International Petroleum Exchange (London)
• ISE International Stock Exchange (renamed the LSE in 1991)
• ISF Individual Stock Futures
• ISEQ Irish Stock Exchange Equity index
• JEC Joint Exchanges Committee (UK)
• JGB Japanese Government Bond
• JSE Johannesburg Stock Exchange
• KCBT Kansas City Board of Trade
• KLCE Kuala Lumpur Commodity Exchange
• KLSE CI Kuala Lumpur Stock Exchange Composite Index
• KLOFFE Kuala Lumpur Options and Financial Futures Exchange
• KOSPI Korea Stock Price Index
• LCE London Commodity Exchange (London FOX until 1st July 1993) (merged with Liffe on 16th September 1996)
• LCH London Clearing House (subsidiary of ICCH until June 1991)
• LEAPS Long term Equity AnticiPation Securities (CBOE)
• LIBOR London Interbank Offered Rate
• Liffe London International Financial Futures Exchange to 23rd March 1992, and then London International Financial Futures and Options Exchange until 2001, when it became Euronext.Liffe
• LME London Metal Exchange
• LOCH London Options Clearing House
• LOX Large Order Execution (CME)
• LSE London Stock Exchange (formerly the ISE until 1991)
• LTOM London Traded Options Market (to 23rd March 1992, when it merged with Liffe)
• MATIF Marché à Terme International de France (Paris)
• MCC Modified Closing Call (CBOT)
• MEFF RF Mercado de Futuros Financieros Renta Fija (Barcelona)
• MEFF RV Mercado de Futuros Financieros Renta Variable (Madrid)
• MERFOX Mercado de Futuros y Opciones (Buenos Aires, Argentina)
• MFA Managed Futures Association
• MIF Mercato Italiano Futures (Italy)
• MMI Major Market Index (US)
• MOFEX Mercando de Opciones Financiero Espanol (Madrid)
• MONEP Marché des Options Négociables de la Bourse de Paris
• MSCI Morgan Stanley Capital International
• NASDAQ National Association of Securities Dealers Automated Quotation System (US)
• NFA National Futures Association (US)
• NMS Normal Market Size (LSE)
• NPV Net Present Value
• NSC Nouveau Systeme de Cotation (Paris Bourse and Matif)
• NYCE New York Cotton Exchange
• NYFE New York Futures Exchange
• NYMEX New York Mercantile Exchange (Merged with COMEX on 3rd August 1994)
• NYSE New York Stock Exchange
• NZFOE New Zealand Futures and Options Exchange
• NZSE New Zealand Stock Exchange
• OARS Opening Automated Report Service (NYSE)
• OLS Ordinary Least Squares regression
• OMLX London Securities and Derivatives Exchange (OM London until 1 April 1993)
• OPALS Optimized Portfolios As Listed Securities (Morgan Stanley, May 1993)
• OSE Osaka Securities Exchange (Japan)
• OTC Over the Counter
• ÖTOB Österreichische Termin und Optionenbörse (Austrian Futures and Options Exchange, Vienna)
• PHBOT Philadelphia Board of Trade
• PHLX Philadelphia Stock Exchange
• PIBS Permanent Interest Bearing Share
• PSI Portuguese Stock Index
• PTX Polish Traded Index (ÖTOB)
• RAES Retail Automatic Execution Service (CBOE)
• S&P Standard and Poors
• SAEF SEAQ Automated Execution Facility (LSE)
• SAFE Simulation Analysis of Financial Exposure (CBOT)
• SAFEX South African Futures Exchange (Johannesburg)
• SEAQ Stock Exchange Automated Quotations (LSE)
• SEAQI SEAQ International (LSE)
• SEATS Stock Exchange Automated Trading System (ASX)
• SEATS Stock Exchange Alternative Trading System (LSE)
• SEC Securities and Exchange Commission (US)
...

Table of contents

• Cover
• Half Title
• Title
• Copyright
• Contents
• Dedication
• Acknowledgements
• Preface
• Abbreviations
• Questions
• Glossary
• References
• Index