Market timing using derivatives on the Johannesburg Stock Exchange during bear periods

Autor:	Wendy Grantham, Ian Rudden, Mark Pryce, Simon Hill, Marc Dumont de Chassart, C. Firer
Rok vydání:	2000
Předmět:	Buy and hold lcsh:Management. Industrial management Strategy and Management media_common.quotation_subject Monetary economics lcsh:Business Market timing lcsh:HD28-70 Stock exchange Portfolio insurance Cash ddc:650 Business Business and International Management lcsh:HF5001-6182 Speculation media_common
Zdroj:	South African Journal of Business Management, Vol 31, Iss 4, Pp 149-155 (2000)
ISSN:	2078-5976 2078-5585
DOI:	10.4102/sajbm.v31i4.746
Popis:	The objective of the study was to investigate the gains from market timing strategies using derivatives during a period when the return on the market was below that of the risk-free asset (a so-called bear period). It was found that perfect timers appear to do better under bullish rather than bearish markets. However, in a bear period, substantially lower predictive accuracies were needed to beat a buy and hold strategy when timing strategies using call options and holding cash (bull timing) were used compared to the strategy of holding the market and buying puts (bear timing) ahead of anticipated poor periods. Finally both the strategies of holding cash and buying a call in every period (market speculation) as well as of holding the market and buying a put in every period (portfolio insurance) out-performed a buy and hold strategy.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::de42ae182353618581c3dd4e2bd8f0c5 https://doi.org/10.4102/sajbm.v31i4.746 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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