Intraday data and hedging efficiency in interest spread trading

European Journal of Finance

Volumn 6, Issue 4, 2000, Pages 332-352

  Dunis, Christian ^a   Lequeux, Pierre ^a  

^a LIVERPOOL JOHN MOORES UNIVERSITY   (United Kingdom)

Author keywords

Government Bond Futures Interest Rate Futures Intraday Data Hedging Efficiency Spread Ratios

Indexed keywords

EID: 85014456263     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470050195100     Document Type: Article

References (23)

1. Benninga, S., Eldor, R., and Zilcha, I., 1984. The optimal hedge ratio in unbiased futures markets. Journal of Futures Markets, 4: 155–159.
2. Chang, J. S. K., and Shanker, L., 1987. A risk-return measure of hedging effectiveness: a comment. Journal of Financial and Quantitative Analysis, 22: 373–376.
3. Daigler, R. T., 1993. Financial Futures Markets — Concepts, Evidence And Applications, Harpers Collins College Publications.
4. de Jong, A., de Roon, F., and Veld, C., 1997. Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies. Journal of Futures Markets, 17: 817–837.
5. Ditsch, M. W., and Leuthold, R. M., 1996. Evaluating the hedging potential of the lean hog futures contract, OFOR Working Paper Series 96-103
6. Dunis, C., and Keller, A. 1995. Efficiency tests with overlapping data: an application to the currency options market. European Journal of Finance, 1: 345–366.
7. Ederington, L. H., 1979. The hedging performance of the new futures markets. Journal of Finance, 34: 157–170.
8. Eftekhari, B., 1998. Lower partial moments hedge ratios. Applied Financial Economics, 8: 645–652.
9. Figlewski, S., 1984. Hedging performance and basis risk in stock index futures. Journal of Finance, 39: 657–669.
10. Fishburn, P. C., 1977. Mean-risk analysis with risk associated with below-target returns. American Economic Review, 67: 116–126.
11. Gardner, W. G., and Stone, D., 1995. Estimating currency hedge ratios for international portfolios. Financial Analysts Journal, 51: 58–64.
12. Gardner, W. G., and Wuilloud, T., 1995. Currency risk in international portfolios: how satisfying is optimal hedging?. Journal of Portfolio Management, 21: 59–67.
13. Gehm, F., 1983. Commodity Market Money Management, John Wiley & Sons.
14. Gosh, A., 1993. Hedging with stock index futures: estimation and forecasting with error correction model. Journal of Futures Markets, 13: 743–752.
15. Hansen, L. P., and Hodrick, R. J., 1980. Forward exchange rates as optimal predictors of future spot exchange rate: an econometric analysis. Journal of Political Economy, 88: 829–853.
16. Herbst, A. F., Swanson, P. E., and Stephen, C., 1992. A redetermination of hedging strategies using foreign currency futures contracts and forward markets. Journal of Futures Markets, 12: 93–104.
17. Howard, C. T., and D'Antonio, L. J., 1984. A risk-return measure of hedging effectiveness. Journal of Financial and Quantitative Analysis, 19: 101–112.
18. Howard, C. T, and D'Antonio, L. J., 1987. A risk-return measure of hedging effectiveness: a reply. Journal of Financial and Quantitative Analysis, 22: 377–381.
19. Kritzman, M., 1993. The minimum risk currency hedge ratio and foreign asset exposure. Financial Analysts Journal, 49: 77–78.
20. Lequeux, P., and Acar, E., 1996. Tick by tick: an empirical study of BTP/Bund spread trading. LIFFE Smart Spread Newsletter, June
21. Myers, R. J., and Thompson, S. R., 1989. Generalized optimal hedge ratio estimation. American Journal of Agricultural Economics, 71: 858–867.
22. Raj, M., and Dheeriya, P. L. 1997. Effectiveness of ex-ante hedge ratios and optimal hedging duration: evidence from New Zealand, Aberdeen Business School. Discussion Paper
23. Sener, T., 1997. Objectives of hedging and optimal hedge ratios: U.S. vs. Japanese investors, AFBC Research Paper no. 28