Hedging efficiency: A futures exchange management approach

Journal of Futures Markets

Volumn 17, Issue 5, 1997, Pages 599-615

  Pennings, Joost M E ^a   Meulenberg, Matthew T G ^a  

^a WAGENINGEN UNIVERSITY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031516257     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199708)17:5<599::AID-FUT5>3.0.CO;2-A     Document Type: Article

References (12)

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3. Bailey, W., and Chang, K. C. (1993): "Macroeconomic Influences and the Variability of the Commodity Futures Basis," Journal of Finance, 48:555-573.
4. Berkman, H. (1992): "Trading Systems and Liquidity on Securities Markets," Ph.D. thesis, Erasmus University, Rotterdam.
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6. Black, G. D. (1986): "Success and Failure of Futures Contracts Theory and Empirical Evidence," Monograph 1986-1, Salomon Brothers Center for the Study of Financial Institutions, New York.
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8. Castelino, M. G., Francis, J. C., and Wolf, A. (1991): "Cross-Hedging: Basis Risk and Choice of the Optimal Hedging Vehicle," Financial Review, 26:179-210.
9. Castelino, M. G. (1992): "Hedge Effectiveness: Basis Risk and Minimum-Variance Hedging," The Journal of Futures Markets, 12:187-201.
10. Chang, J. S. K., and Fang H. (1990): "An Intertemporal Measure of Hedging Effectiveness," The Journal of Futures Markets, 10:307-321.
11. Chang, J. S. K., and Shanker L. (1986): "Hedging Effectiveness of Currency Options and Currency Futures," The Journal of Futures Markets, 6:289-305.
12. Chen, N-F., Cuny, C.J., and Haugen, R. A. (1995): "Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts," Journal of Finance, 50:281-300.