Interest Rate Futures Markets and Capital Market Theory
eBook - PDF

Interest Rate Futures Markets and Capital Market Theory

Theoretical Concepts and Empirical Evidence

  1. 337 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Interest Rate Futures Markets and Capital Market Theory

Theoretical Concepts and Empirical Evidence

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Yes, you can access Interest Rate Futures Markets and Capital Market Theory by Klaus Kobold in PDF and/or ePUB format, as well as other popular books in Economics & Economic Theory. We have over one million books available in our catalogue for you to explore.

Information

Publisher
De Gruyter
Year
2011
Print ISBN
9783110109030
eBook ISBN
9783110903300
Edition
1
Topic
Economics
Subtopic
Economic Theory
Index
Economics

Table of contents

  1. INTRODUCTION
  2. General Area of Interest
  3. Purpose of Research
  4. Outline
  5. CHAPTER I: THE INTEREST RATE FUTURES MARKET
  6. 1. DESCRIPTION OF FUTURES MARKETS
  7. 1.1. Characteristics of Futures Contracts and Markets
  8. 1.2. Consequences of these Characteristics
  9. 1.3. Contracts Traded
  10. 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS
  11. 2.1. Hedging
  12. 2.2. Speculation
  13. 2.3. Arbitrage
  14. 2.4. Spreading
  15. CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY
  16. 1. CLASSICAL PORTFOLIO THEORY
  17. 1.1. Objectives and Assumptions
  18. 1.2. Decision Criteria
  19. 1.3. Efficient Portfolios
  20. 1.4. The Optimal Portfolio
  21. 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING
  22. 2.1. The Portfolio Theory of Hedging
  23. 2.2. The Individual Agent’s Optimal Position in Futures Markets
  24. 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER
  25. 3.1. Hedging a Single Asset
  26. 3.2. Hedging a Single Asset as Part of a Portfolio
  27. 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio
  28. 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION
  29. 4.1. Markets and Periods Investigated
  30. 4.2. Representative Indicator for the Cash Market
  31. 4.3. Calculating Return and Variance
  32. 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio
  33. 5. RESULTS OF THE EMPIRICAL INVESTIGATION
  34. 5.1. Effects of Hedging on Risk and Return of Single Positions
  35. 5.2. Effects of Hedging on Risk and Return of Portfolios
  36. 5.3. Analysis of Hedging Effectiveness
  37. 5.4. Analysis of Optimal Hedge Ratios
  38. 5.5. Evaluation of Results
  39. CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL
  40. 1. THEORETICAL BASIS
  41. 1.1. The Single-Index Model
  42. 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing
  43. 1.3. Market Equilibrium: The Capital Asset Pricing Model
  44. 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL
  45. 2.1. Risk of Interest-Bearing Securities
  46. 3. EMPIRICAL INVESTIGATION
  47. 3.1. Technical Aspects
  48. 3.2. Empirical Results
  49. 3.3. Evaluation of Results
  50. CHAPTER IV: SUMMARY AND CONCLUSIONS
  51. 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS
  52. 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY
  53. 2.1. Informational Situation
  54. 2.2. Volatility of Interest Rates
  55. 2.3. Capital Market Efficiency
  56. BIBLIOGRAPHY