Cross hedging with stock index futures

Cross hedging with stock index futures

This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia. Our daily dataset spans from August 2002 through November 2019. We apply the OLS, VECM and Maxima...

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Bibliographic Details
Main Authors: Zainudin, Ahmad Danial, Mohamad, Azhar
Format: Article
Language:English
English
Published: Elsevier 2021
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/92373/7/92373_Cross%20hedging%20with%20stock%20index%20futures.pdf
http://irep.iium.edu.my/92373/8/92373_Cross%20hedging%20with%20stock%20index%20futures_Scopus.pdf
http://irep.iium.edu.my/92373/
https://www.sciencedirect.com/science/article/abs/pii/S1062976921001447
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Institution: Universiti Islam Antarabangsa Malaysia
Language: English
English

Internet

http://irep.iium.edu.my/92373/7/92373_Cross%20hedging%20with%20stock%20index%20futures.pdf
http://irep.iium.edu.my/92373/8/92373_Cross%20hedging%20with%20stock%20index%20futures_Scopus.pdf
http://irep.iium.edu.my/92373/
https://www.sciencedirect.com/science/article/abs/pii/S1062976921001447

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