Interest Rate Futures Markets and Capital Market Theory : Theoretical Concepts and Empirical Evidence

Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk. INTRODUCTION General Area of Interest Purpose of Research Outline CHAPTER I: THE INTEREST RATE FUTURES MARKET 1. DESCRIPTION OF FUTURES MARKETS 1.1. Characteristics of Futures Contracts and Markets 1.2. Consequences of these Characteristics 1.3. Contracts Traded 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS 2.1. Hedging 2.2. Speculation 2.3. Arbitrage 2.4. Spreading CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY 1. CLASSICAL PORTFOLIO THEORY 1.1. Objectives and Assumptions 1.2. Decision Criteria 1.3. Efficient Portfolios 1.4. The Optimal Portfolio 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING 2.1. The Portfolio Theory of Hedging 2.2. The Individual Agent’s Optimal Position in Futures Markets 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER 3.1. Hedging a Single Asset 3.2. Hedging a Single Asset as Part of a Portfolio 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION 4.1. Markets and Periods Investigated 4.2. Representative Indicator for the Cash Market 4.3. Calculating Return and Variance 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio 5. RESULTS OF THE EMPIRICAL INVESTIGATION 5.1. Effects of Hedging on Risk and Return of Single Positions 5.2. Effects of Hedging on Risk and Return of Portfolios 5.3. Analysis of Hedging Effectiveness 5.4. Analysis of Optimal Hedge Ratios 5.5. Evaluation of Results CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL 1. THEORETICAL BASIS 1.1. The Single-Index Model 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing 1.3. Market Equilibrium: The Capital Asset Pricing Model 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL 2.1. Risk of Interest-Bearing Securities 3. EMPIRICAL INVESTIGATION 3.1. Technical Aspects 3.2. Empirical Results 3.3. Evaluation of Results CHAPTER IV: SUMMARY AND CONCLUSIONS 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY 2.1. Informational Situation 2.2. Volatility of Interest Rates 2.3. Capital Market Efficiency BIBLIOGRAPHY

Medieval literature is to a large degree shaped by orality, not only with regard to performance, but also to transmission and composition. Although problems of orality have been much discussed by medievalists, there is to date no comprehensive handbook on this topic.'Medieval Oral Literature', a volume in the 'De Gruyter Lexikon' series, was written by an international team of twenty-five scholars and offers a thorough discussion of theoretical approaches as well as detailed presentations of individual traditions and genres. In addition to chapters on the oral-formulaic theory, on the interplay of orality and writing in the Early Middle Ages, on performance and performers, on oral poetics and on ritual aspects of orality, there are chapters on the Older Germanic, Romance, Middle High German, Middle English, Celtic, Greek-Byzantine, Russian, Hebrew, Arabic, Persian and Turkish traditions of oral literature. There is a special focus on epic and lyric, genres that are also discussed in separate chapters, with additional chapters on the ballad and on drama.