TY - JOUR
T1 - Intraday return predictability, portfolio maximisation, and hedging
AU - Narayan, Paresh Kumar
AU - Sharma, Susan Sunila
N1 - Publisher Copyright:
© 2016 Elsevier B.V.
Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.
PY - 2016/9
Y1 - 2016/9
N2 - 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.
AB - 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.
KW - Chinese stock returns
KW - Futures
KW - Intraday data
KW - Predictability
UR - http://www.scopus.com/inward/record.url?scp=84991832907&partnerID=8YFLogxK
U2 - 10.1016/j.ememar.2016.08.017
DO - 10.1016/j.ememar.2016.08.017
M3 - Article
AN - SCOPUS:84991832907
SN - 1566-0141
VL - 28
SP - 105
EP - 116
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -