Systematic risk and returns to stock index futures contracts: International evidence

Abstract

With the advent of futures contracts on stock indexes, active and offensively minded portfolio risk management, in its broadest sense, became practicable. In effect, the risk manager and the individual investor gained We are grateful to Ian Garrett, Andrew Foster, and Jonty Rougier for helpful comments and discussions. We are also grateful to two anonymous referees and the editor, Mark J. Powers, for extremely helpful comments and suggestions. The usual disclaimer applies.

Time‐varying jump risk premia in stock index futures returns

“…The presence of time‐varying risk premium is also detected in commodity futures markets by Deaves and Krinsky and Chang, Chen, and Chen . For the stock market, Antoniou and Holmes finds a systematic risk‐return relationship in the FTSE stock index futures contracts. This study extends this strand of literature to allow for a jump component for the extreme news events in the risk‐return relationship.…”