메뉴 건너뛰기




Volumn 19, Issue 4, 1996, Pages 477-491

Hedging with international stock index futures: An intertemporal error correction model

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84985918303     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1996.tb00226.x     Document Type: Article
Times cited : (33)

References (21)
  • 1
    • 0016355478 scopus 로고
    • A new look at statistical model identification
    • Akaike, H., 1974, A new look at statistical model identification, IEEE Trans. Auto. Control 19, 716–23.
    • (1974) IEEE Trans. Auto. Control , vol.19 , pp. 716-723
    • Akaike, H.1
  • 2
    • 1642321402 scopus 로고
    • A reformulation of the portfolio model of hedging
    • Brown, S., 1985, A reformulation of the portfolio model of hedging, American Journal of Agricultural Economics 67, 508–72.
    • (1985) American Journal of Agricultural Economics , vol.67 , pp. 508-572
    • Brown, S.1
  • 3
    • 84978579097 scopus 로고
    • Hedge effectiveness: Basis risk and minimum variance hedging
    • Castelino, M., 1992, Hedge effectiveness: Basis risk and minimum variance hedging, Journal of Futures Markets 12, 187–201.
    • (1992) Journal of Futures Markets , vol.12 , pp. 187-201
    • Castelino, M.1
  • 4
    • 0000472488 scopus 로고
    • The likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, D. and W. Fuller, 1981, The likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057–72.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.1    Fuller, W.2
  • 5
    • 0000013567 scopus 로고
    • Cointegration and error correction representation, estimation, and testing
    • Engle, R. and C. Granger, 1987, Cointegration and error correction representation, estimation, and testing, Econometrica 55, 251–76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.1    Granger, C.2
  • 6
    • 84977354474 scopus 로고
    • The hedging performance of the new Futures markets
    • Ederington, L., 1979, The hedging performance of the new Futures markets, Journal of Finance 34, 157–170.
    • (1979) Journal of Finance , vol.34 , pp. 157-170
    • Ederington, L.1
  • 7
    • 0001729966 scopus 로고
    • Hedging performance and basis risk in stock index futures
    • Figlewski, S., 1984, Hedging performance and basis risk in stock index futures, Journal of Finance 39, 657–69.
    • (1984) Journal of Finance , vol.39 , pp. 657-669
    • Figlewski, S.1
  • 8
    • 49149136839 scopus 로고
    • Some properties of time series data in econometric model specification
    • Granger, C., 1981, Some properties of time series data in econometric model specification, Journal of Econometrics 16, 121–30.
    • (1981) Journal of Econometrics , vol.16 , pp. 121-130
    • Granger, C.1
  • 10
    • 84979432001 scopus 로고
    • A note on the hedging effectiveness of foreign currency futures
    • Hill, J. and T. Schneeweis, 1981, A note on the hedging effectiveness of foreign currency futures, Journal of Futures Markets 4, 659–64.
    • (1981) Journal of Futures Markets , vol.4 , pp. 659-664
    • Hill, J.1    Schneeweis, T.2
  • 11
    • 84986465465 scopus 로고
    • The hedging effectiveness of foreign currency futures
    • Hill, J. and T. Schneeweis, 1982, The hedging effectiveness of foreign currency futures, Journal of Financial Research 5, 95–104.
    • (1982) Journal of Financial Research , vol.5 , pp. 95-104
    • Hill, J.1    Schneeweis, T.2
  • 12
    • 84963056817 scopus 로고
    • The theory of hedging and speculation in commodity futures
    • Johnson, L., 1960, The theory of hedging and speculation in commodity futures, Review of Economic Studies 27, 139–51.
    • (1960) Review of Economic Studies , vol.27 , pp. 139-151
    • Johnson, L.1
  • 13
    • 84979421169 scopus 로고
    • Use of three stock index futures in hedging decisions
    • Junkus, J. and C. Lee, 1985, Use of three stock index futures in hedging decisions, Journal of Futures Markets 5, 201–22.
    • (1985) Journal of Futures Markets , vol.5 , pp. 201-222
    • Junkus, J.1    Lee, C.2
  • 14
    • 0002378331 scopus 로고
    • Critical values for cointegration tests
    • R. Engle, C. Granger, eds., Oxford University Press, New York
    • MacKinnon, J., 1991, Critical values for cointegration tests, in R. Engle and C. Granger, eds.: Long-run Economic Relationships Readings in Cointegration (Oxford University Press, New York).
    • (1991) Long-run Economic Relationships Readings in Cointegration
    • MacKinnon, J.1
  • 15
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P. and P. Perron, 1988, Testing for a unit root in time series regression, Biometrika 75, 335–346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.1    Perron, P.2
  • 16
    • 0001207687 scopus 로고
    • The simultaneous determination of spot and futures prices
    • Stein, J., 1961, The simultaneous determination of spot and futures prices, American Economic Review 51, 1012–25.
    • (1961) American Economic Review , vol.51 , pp. 1012-1025
    • Stein, J.1
  • 17
    • 84978548070 scopus 로고
    • Robustness results for regression hedge ratios: Futures contracts with multiple deliverable grades
    • Viswanath, P. and S. Chatterjee, 1992, Robustness results for regression hedge ratios: Futures contracts with multiple deliverable grades, Journal of Futures Markets 12, 253–63.
    • (1992) Journal of Futures Markets , vol.12 , pp. 253-263
    • Viswanath, P.1    Chatterjee, S.2
  • 18
    • 17644384256 scopus 로고
    • Hedging effectiveness of U. S. wheat futures markets
    • Wilson, W. W., 1983, Hedging effectiveness of U. S. wheat futures markets, Review of Research in Futures Markets 3, 64–67.
    • (1983) Review of Research in Futures Markets , vol.3 , pp. 64-67
    • Wilson, W.W.1
  • 19
    • 84978551567 scopus 로고
    • Comparison of analytical approaches for estimating hedge ratios for agricultural commodities
    • Witt, H., T. Schroeder, and M. Hayenga, 1987, Comparison of analytical approaches for estimating hedge ratios for agricultural commodities, Journal of Futures Markets 7, 135–46.
    • (1987) Journal of Futures Markets , vol.7 , pp. 135-146
    • Witt, H.1    Schroeder, T.2    Hayenga, M.3
  • 20
    • 0001232573 scopus 로고
    • Futures trading and hedging
    • Working, H., 1953, Futures trading and hedging, American Economic Review 43, 314–43.
    • (1953) American Economic Review , vol.43 , pp. 314-343
    • Working, H.1
  • 21
    • 0011655475 scopus 로고
    • New concepts concerning futures markets and prices
    • Working, H., 1962, New concepts concerning futures markets and prices, American Economic Review 52, 432–59.
    • (1962) American Economic Review , vol.52 , pp. 432-459
    • Working, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.