Intraday return predictability, portfolio maximisation, and hedging

Narayan, Paresh Kumar and Sharma, Susan Sunila 2016, Intraday return predictability, portfolio maximisation, and hedging, Emerging markets review, vol. 28, pp. 105-116, doi: 10.1016/j.ememar.2016.08.017.

Attached Files
Name Description MIMEType Size Downloads

Title Intraday return predictability, portfolio maximisation, and hedging
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146
Sharma, Susan SunilaORCID iD for Sharma, Susan Sunila orcid.org/0000-0002-7297-1557
Journal name Emerging markets review
Volume number 28
Start page 105
End page 116
Total pages 12
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-09
ISSN 1566-0141
1873-6173
Keyword(s) futures
Chinese stock returns
predictability
intraday data
Social Sciences
Business, Finance
Economics
Business & Economics
STOCK INDEX FUTURES
EQUITY PREMIUM PREDICTION
PRICE DISCOVERY
TRADING COSTS
MARKET
VOLATILITY
GOLD
INFORMATION
PERFORMANCE
COMMODITY
Summary 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.
Language eng
DOI 10.1016/j.ememar.2016.08.017
Field of Research 150202 Financial Econometrics
140207 Financial Economics
1402 Applied Economics
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30088609

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 9 times in TR Web of Science
Scopus Citation Count Cited 11 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 234 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Wed, 09 Nov 2016, 08:42:02 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.