The effect of liquidity constraints on futures hedging

Journal of Futures Markets

Volumn 23, Issue 6, 2003, Pages 603-613

  Lien, Donald ^a  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037410546     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10075     Document Type: Article

References (8)

1. Arias, J., Brorsen, B., & Harri, A. (2000). Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints, Journal of Futures Markets, 20, 375-396.
2. Benninga, S., Eldor, R., & Zilcha, I. (1983). Optimal hedging in the futures market under price uncertainty. Economics Letters, 13, 141-145.
3. Brown, G. W., & Khokher, Z. (2001). Corporate risk, market imperfections, and speculative motives (Working Paper), University of North Carolina, Chapel Hill.
4. Figlewski, S., Lanskroner, Y., & Silber, W. L. (1991 ). Tailing the hedge: Why and how. The Journal of Futures Markets, 11, 201-212.
5. Lence, S. H. (1995). On the optimal hedge under unbiased futures prices. Economics Letters, 47, 385-388.
6. Lien, D., & Tse, Y. K. (2002). Some recent development in futures hedging. Journal of Economic Survey, 16, 357-396.
7. Liu, J., & Lonstaff, F. A. (2000). Losing money on arbitrages (Working Paper), University of California, Los Angeles.
8. Mello, A., & Parsons, J. (2000). Hedging and liquidity. Review of Financial Studies, 13, 127-153.