English, Article edition: Price Expectation and the Pricing of Stock Index Futures: Evidence from Developed and Emerging Markets Janchung Wang; Hsinan Hsu

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Price Expectation and the Pricing of Stock Index Futures: Evidence from Developed and Emerging Markets
Author
  • Janchung Wang
  • Hsinan Hsu
Physical Description
  • article
Notes
  • This study examines how well the pricing model of Hsu and Wang (2004) explains the behavior of stock index futures prices for the developed markets (such as the S&​P 500 index futures market) and the emerging markets (such as the Taiwan Futures Exchange (TAIFEX) Taiwan stock index futures market). It also compares the pricing performance of three alternative pricing models of stock index futures: the cost of carry model, the Hemler and Longstaff (1991) model, and the HsuâWang model. Overall, the HsuâWang model provides significantly better pricing performance than that of the cost of carry model in emerging markets with high degrees of imperfection. Moreover, this study also observes that the Hemler and Longstaff (1991) model performs better than the cost of carry model in estimating prices of the TAIFEX futures, suggesting that the incorporation of stochastic market volatility is beneficial to predict the TAIFEX futures prices.
  • Cost of carry model, HemlerâLongstaff model, HsuâWang model, price expectation
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:04:p:639-660
Language
  • English
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