The effect of the cointegration relationship on futures hedging: A note

Journal of Futures Markets

Volumn 16, Issue 7, 1996, Pages 773-780

  Lien, D A Hsiang Donald ^a,b  

^a UNIVERSITY OF KANSAS   (United States)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030524637     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199610)16:7<773::aid-fut3>3.0.co;2-l     Document Type: Article

References (11)

1. Antoniou, A., and Foster, A. J. (1994): "Short-Term and Long-Term Efficiency in Commodity Spot and Futures Markets," Financial Markets, Institutions & Instruments, 3:17-35.
2. Brenner, R.J., and Kroner, K.F. (1995): "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, 30:23-42.
3. Engle, R.B., and Granger, C.W. (1987): "Cointegration and Error Correction: Representation, Estimation, and Testing," Econometrica, 55:251-276.
4. Ghosh, A. (1993): "Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model," The Journal of Futures Markets, 13:743-752.
5. Granger, C.W.J. (1986): "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, 48:213-228.
6. Kroner, K.F., and Sultan, J. (1993): "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, 28:535-551.
7. Lien, D. (1992): "Application of Mean-Variance Analysis to Broad-Based Futures Contracts," The Journal of Futures Markets, 12:19-32.
8. Lien, D., and Luo, X. (1993): "Estimating Multiperiod Hedge Ratios in Cointegrated Markets," The Journal of Futures Markets, 13:909-920.
9. Lien, D., and Luo, X. (1994): "Multiperiod Hedging in the Presence of Conditional Heteroskedasticity," The Journal of Futures Markets, 14:927-955.
10. Myers, R.J., and Thompson, S.R. (1989): "Generalized Optimal Hedge Ratio Estimation," American Journal of Agricultural Economics, 71:858-868.
11. Viswanath, P.V. (1993): "Efficient Use of Information, Convergence Adjustments, and Regression Estimates of Hedge Ratios," The Journal of Futures Markets, 13:43-53.