Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract

International Journal of Risk Assessment and Management ◽

10.1504/ijram.2008.019316 ◽

2008 ◽

Vol 9 (1/2) ◽

pp. 121 ◽

Author(s):

Dimitris Kenourgios ◽

Aristeidis Samitas ◽

Panagiotis Drosos

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Ratio Estimation ◽

Hedge Ratio ◽

Index Futures ◽

Futures Contract ◽

Hedging Effectiveness

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STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY

Journal of Business Finance &amp Accounting ◽

10.1111/j.1468-5957.1996.tb00402.x ◽

1996 ◽

Vol 23 (1) ◽

pp. 63-77 ◽

Author(s):

Phil Holmes

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Ratio Estimation ◽

Hedge Ratio ◽

Index Futures ◽

Futures Hedging

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Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India

Macroeconomics and Finance in Emerging Market Economies ◽

10.1080/17520840701859856 ◽

2008 ◽

Vol 1 (1) ◽

pp. 121-134 ◽

Author(s):

Saumitra N. Bhaduri ◽

S. Raja Sethu Durai

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Hedge Ratio ◽

Index Futures ◽

Hedging Effectiveness ◽

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Ex ante hedge ratios and the hedging effectiveness of the FTSE-100 stock index futures contract

Applied Economics Letters ◽

10.1080/135048595357564 ◽

1995 ◽

Vol 2 (3) ◽

pp. 56-59 ◽

Author(s):

Phil Holmes

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Futures Contract ◽

Hedging Effectiveness ◽

Hedge Ratios ◽

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Manipulation Prevention and Hedging Effectiveness: Optimal Settlement Window Design for CSI 300 Stock Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.2223590 ◽

2013 ◽

Author(s):

Rui Luo ◽

Jun Song

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Hedging Effectiveness ◽

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Asymmetric dynamic hedging effectiveness: Evidence from Taiwan Stock Index Futures

AFRICAN JOURNAL OF BUSINESS MANAGEMENT ◽

10.5897/ajbm11.618 ◽

2012 ◽

Vol 6 (34) ◽

Author(s):

Chung-Chu Chuang

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Dynamic Hedging ◽

Index Futures ◽

Hedging Effectiveness

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Comment on The Saga of the First Stock Index Futures Contract: Was It a Case of the Market Using the Wrong Model and Not Learning?

Journal of money credit and banking ◽

10.1353/mcb.2002.0022 ◽

2002 ◽

Vol 34 (3b) ◽

pp. 809-811

Author(s):

Ed Stevens

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Futures Contract

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Dynamic hedge ratio for stock index futures: application of threshold VECM

Applied Economics ◽

10.1080/00036840701721380 ◽

2010 ◽

Vol 42 (11) ◽

pp. 1403-1417 ◽

Author(s):

Ming-Yuan Leon Li

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Hedge Ratio ◽

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The hedging rationale for a stock index futures contract

Journal of Futures Markets ◽

10.1002/fut.3990010106 ◽

1981 ◽

Vol 1 (1) ◽

pp. 59-76 ◽

Author(s):

Neil S. Weiner

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Futures Contract

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Hedging effectiveness of the Athens stock index futures contracts

European Journal of Finance ◽

10.1080/13518470801890701 ◽

2008 ◽

Vol 14 (3) ◽

pp. 243-270 ◽

Author(s):

Manolis G. Kavussanos ◽

Ilias D. Visvikis

Keyword(s):

Stock Index ◽

Futures Contracts ◽

Stock Index Futures ◽

Index Futures ◽

Hedging Effectiveness

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Hedging effectiveness of stock index futures

European Journal of Operational Research ◽

10.1016/j.ejor.2004.01.007 ◽

2005 ◽

Vol 163 (1) ◽

pp. 177-191 ◽

Author(s):

Jason Laws ◽

John Thompson

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Hedging Effectiveness

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