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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English English |
| Published: |
Elsevier
2021
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universiti Islam Antarabangsa Malaysia |
| Language: | English English |
Be the first to leave a comment!