2024-03-29T11:51:14Zhttps://repositori.uji.es/oai/requestoai:repositori.uji.es:10234/956222021-06-14T06:44:56Zcom_10234_8648com_10234_9col_10234_8649
00925njm 22002777a 4500
dc
Andani, A.
author
Lafuente-Luengo, Juan Angel
author
Novales, A.
author
2009
We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding futures contracts through the application of a dynamic, stochastic hedging strategy proposed by Lafuente, J. A. and Novales, A. (2003). Conclusive gains do not emerge in any of the markets analyzed over the period considered, relative to the use of a constant unit hedge ratio. These findings are consistent with the trend observed in the IBEX 35 futures market study of Lafuente, J. A. and Novales, A. (2003). Our empirical evidence suggests that, contrary to what happens in less liquid markets, the discrepancy between theoretical and quoted prices in index futures contracts in fully developed markets does not represent a noise factor that can be successfully exploited for hedging.
0270-7314
http://hdl.handle.net/10234/95622
http://dx.doi.org/10.1002/fut.20395
future mispricing
hedging effectiveness
Liquidity and hedging effectiveness under futures mispricing: International evidence