Hedging effectiveness for international index futures markets

Hedging effectiveness for international index futures markets

This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model a...

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Bibliographic Details
Main Authors: Koulis Alexandros, Kaimakamis George, Beneki Christina
Format: Article
Language:English
Published: Sciendo 2018-07-01
Series:Economics and Business
Subjects:
minimum variance
hedge ratio
effectiveness
Online Access:https://doi.org/10.2478/eb-2018-0012

Internet

https://doi.org/10.2478/eb-2018-0012

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