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Can I read Liquidity and hedging effectiveness under futures mispricing: International evidence on EtoBox?
Liquidity and hedging effectiveness under futures mispricing: International evidence by A. Andani; J. A. Lafuente; A. Novales is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Liquidity and hedging effectiveness under futures mispricing: International evidence about?
## Abstract We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding futures contracts through the application of a dynamic, stochastic hedging strategy proposed by Lafuente, J. A. and Novales, A. (2003). Conclusive gains do not emerge in any of the markets analyzed over the period considered, relative to the use of a constant unit hedge ratio. These findings are consistent with the trend observed in the IBEX 35 futures market study of Lafuente, J. A. and Novales, A. (2003). Our empirical evidence suggests that, contrary to what happens in less liquid markets, the discrepancy between theoretical and quoted prices in index futures contracts in fully developed markets does not represent a noise factor that can be successfully exploited for hedging. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1050–1066, 2009
Who reads Liquidity and hedging effectiveness under futures mispricing: International evidence?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- A. Andani; J. A. Lafuente; A. Novales
- Publisher
- John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0270-7314)
- Published
- 2009
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)