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ICM308: Stock Index Futures
Module code: ICM308
Module provider: ICMA Centre; Henley Business School
Credits: 20
Level: 7
When you'll be taught: Summer (vacation) semester
Module convenor: Professor Charles Sutcliffe, email: c.sutcliffe@icmacentre.ac.uk
Pre-requisite module(s):
Co-requisite module(s):
Pre-requisite or Co-requisite module(s):
Module(s) excluded:
Placement information: NA
Academic year: 2024/5
Available to visiting students: No
Talis reading list: No
Last updated: 19 November 2024
Overview
Module aims and purpose
The aim of this module is to give students an understanding of the very large and important global financial markets in futures on national stock market indices.聽
This is a less quantitative option that offers an in-depth study of an important financial product - stock index futures.聽聽
For almost all countries, the value of trading in stock index futures exceeds the total value of trading in all the equities listed on the underlying stock market. So stock index futures are very liquid financial instruments with an important role in financial markets. They are used by fund managers, arbitrageurs, hedgers, speculators, investment banks, pension funds, etc. for a wide variety of reasons.聽聽
The aim of this module is to understand why this very large market exists, and how it works.聽 聽
Much of this material on how stock index futures markets work also applies to other futures markets, e.g. currencies, energy, metals, agricultural commodities.
Module learning outcomes
By the end of the module, it is expected that students will be able to:聽
- discuss the different ways of constructing stock market indices and the implications of these differences,聽 and describe various features and characteristics of the process of trading stock index futures 聽
- discuss the identity and characteristics of some of the close substitutes for stock index futures, and explain how stock index futures can be pr iced using a simple arbitrage relationship聽
- discuss basis and spread trading of stock index futures, and explain how stock index futures can be used for hedging the price risk of the underlying basket of shares 聽
- evaluate various other uses that fund managers make of stock index futures, and critically evaluate the design and regulation of stock index futures
Module content
- Stock Market Indices聽
- Introduction to Trading Stock Index Futures聽
- Arbitrage and the Valuation of Stock Index Futures聽
- Arbitrage in Practice of Stock Index Futures聽
- Basis and Spread Trading of Stock Index Futures聽
- Maturity, Price Volatility and Volume of Stock Index Futures聽
- Market Efficiency of Stock Index Futures聽
- Hedging Using Stock Index Futures聽
- The Uses of Stock Index Futures by Fund Managers聽
- The Design and Regulation of Stock Index Futures
Structure
Teaching and learning methods
Lectures are used to introduce the concepts covered in this module.聽聽
The seven seminars allow students to discuss short numerical classwork problems which illustrate the concepts covered in this module.聽
Study hours
At least 27 hours of scheduled teaching and learning activities will be delivered in person, with the remaining hours for scheduled and self-scheduled teaching and learning activities delivered either in person or online. You will receive further details about how these hours will be delivered before the start of the module.
聽Scheduled teaching and learning activities | 聽Semester 1 | 聽Semester 2 | 听厂耻尘尘别谤 |
---|---|---|---|
Lectures | 20 | ||
Seminars | 7 | ||
Tutorials | |||
Project Supervision | |||
Demonstrations | |||
Practical classes and workshops | |||
Supervised time in studio / workshop | |||
Scheduled revision sessions | |||
Feedback meetings with staff | |||
Fieldwork | |||
External visits | |||
Work-based learning | |||
聽Self-scheduled teaching and learning activities | 聽Semester 1 | 聽Semester 2 | 听厂耻尘尘别谤 |
---|---|---|---|
Directed viewing of video materials/screencasts | |||
Participation in discussion boards/other discussions | |||
Feedback meetings with staff | |||
Other | |||
Other (details) | |||
聽Placement and study abroad | 聽Semester 1 | 聽Semester 2 | 听厂耻尘尘别谤 |
---|---|---|---|
Placement | |||
Study abroad | |||
聽Independent study hours | 聽Semester 1 | 聽Semester 2 | 听厂耻尘尘别谤 |
---|---|---|---|
Independent study hours | 173 |
Please note the independent study hours above are notional numbers of hours; each student will approach studying in different ways. We would advise you to reflect on your learning and the number of hours you are allocating to these tasks.
Semester 1 The hours in this column may include hours during the Christmas holiday period.
Semester 2 The hours in this column may include hours during the Easter holiday period.
Summer The hours in this column will take place during the summer holidays and may be at the start and/or end of the module.
Assessment
Requirements for a pass
50% weighted average mark
Summative assessment
Type of assessment | Detail of assessment | % contribution towards module mark | Size of assessment | Submission date | Additional information |
---|---|---|---|---|---|
In-class test administered by School/Dept | Multiple Choice test | 20 | 50 minutes | Summer semester Teaching weeks (TBC) | Multiple Choice test |
In-class test administered by School/Dept | In-person test | 80 | 2 hours | Summer semester, after teaching for the module has finished | In-person test with open-ended questions |
Penalties for late submission of summative assessment
The Support Centres will apply the following penalties for work submitted late:
Assessments with numerical marks
- where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of three working days;
- the mark awarded due to the imposition of the penalty shall not fall below the threshold pass mark, namely 40% in the case of modules at Levels 4-6 (i.e. undergraduate modules for Parts 1-3) and 50% in the case of Level 7 modules offered as part of an Integrated Masters or taught postgraduate degree programme;
- where the piece of work is awarded a mark below the threshold pass mark prior to any penalty being imposed, and is submitted up to three working days after the original deadline (or any formally agreed extension to the deadline), no penalty shall be imposed;
- where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.
Assessments marked Pass/Fail
- where the piece of work is submitted within three working days of the deadline (or any formally agreed extension of the deadline): no penalty will be applied;
- where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension of the deadline): a grade of Fail will be awarded.
The University policy statement on penalties for late submission can be found at: /cqsd/-/media/project/functions/cqsd/documents/qap/penaltiesforlatesubmission.pdf
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.
Formative assessment
Formative assessment is any task or activity which creates feedback (or feedforward) for you about your learning, but which does not contribute towards your overall module mark.
The seven classworks, with about three to five short numerical questions in each, allow students to improve their understanding of the material covered in the lectures.聽聽
Feedback on these problems is provided in the classes.聽聽
The mark on the multiple choice test provides feedback on performance that is available before the second in-class test.聽
Reassessment
Type of reassessment | Detail of reassessment | % contribution towards module mark | Size of reassessment | Submission date | Additional information |
---|---|---|---|---|---|
In-class test administered by School/Dept | In-person test | 100 | 2 hours | During the University resit period |
Additional costs
Item | Additional information | Cost |
---|---|---|
Computers and devices with a particular specification | ||
Printing and binding | ||
Required textbooks | ||
Specialist clothing, footwear, or headgear | ||
Specialist equipment or materials | ||
Travel, accommodation, and subsistence |
THE INFORMATION CONTAINED IN THIS MODULE DESCRIPTION DOES NOT FORM ANY PART OF A STUDENT'S CONTRACT.