Intraday return predictability, portfolio maximisation, and hedging

被引：20
|
作者：
Narayan, Paresh Kumar [1 ]
Sharma, Susan Sunila [1 ]
机构：
[1] Deakin Univ, Financial Econometr Grp, Deakin Business Sch, 221 Burwood Highway, Burwood, Vic 3125, Australia
来源：
EMERGING MARKETS REVIEW | 2016年 / 28卷
关键词：
Futures; Chinese stock returns; Predictability; Intraday data; STOCK INDEX FUTURES; EQUITY PREMIUM PREDICTION; PRICE DISCOVERY; TRADING COSTS; MARKET; VOLATILITY; GOLD; INFORMATION; PERFORMANCE; COMMODITY;
D O I：
10.1016/j.ememar.2016.08.017
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine whether intraday Chinese return predictability is linked to optimal portfolio holding and hedging. We find that: (1) S&P500 futures returns only predict Chinese spot market returns in up to 5-minute of trading with predictability disappearing at higher frequencies of trade; (2) the portfolio weight is maximised at the 5-minute trading frequency, when predictability is the strongest; and (3) when predictability is the strongest, significantly less shorting of the futures is required to minimise risk when a long position is taken in the Chinese market (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：105 / 116
页数：12
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