Liquidity and hedging effectiveness under futures mispricing: International evidence
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
Liquidity and hedging effectiveness under futures mispricing: International evidenceFecha de publicación
2009Editor
WileyISSN
0270-7314Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://onlinelibrary.wiley.com/doi/10.1002/fut.20395/abstractVersión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
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 ... [+]
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. [-]
Publicado en
Journal of Futures Markets, 29, 11, p. 1050–1066Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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