HEDGING PERFORMANCE AND BASIS RISK IN STOCK INDEX FUTURES

被引:174
|
作者
FIGLEWSKI, S
机构
来源
JOURNAL OF FINANCE | 1984年 / 39卷 / 03期
关键词
D O I
10.2307/2327924
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:657 / 669
页数:13
相关论文
共 50 条
  • [1] Risk Analysis for Stock Index Futures Hedging Strategy
    Jiang Fan
    Liu Hailong
    ECONOMIC OPERATION RISK MANAGEMENT, 2010, : 76 - 79
  • [2] Research on Risk Hedging with Stock Index Futures in China
    Jing, He
    PROCEEDINGS OF THE 7TH INTERNATIONAL CONFERENCE ON INNOVATION AND MANAGEMENT, VOLS I AND II, 2010, : 2063 - 2066
  • [3] SYSTEMATIC-RISK, DIVIDEND YIELD AND THE HEDGING PERFORMANCE OF STOCK INDEX FUTURES
    GRAHAM, D
    JENNINGS, R
    JOURNAL OF FUTURES MARKETS, 1987, 7 (01) : 1 - 13
  • [4] A Primer on Hedging with Stock Index Futures
    Fabozzi, Frank J.
    Fabozzi, Francesco A.
    JOURNAL OF DERIVATIVES, 2022, 29 (04): : 39 - 60
  • [5] Cross hedging with stock index futures
    Zainudin, Ahmad Danial
    Mohamad, Azhar
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2021, 82 : 128 - 144
  • [6] Hedging effectiveness of stock index futures
    Laws, J
    Thompson, J
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2005, 163 (01) : 177 - 191
  • [7] RISK-RETURN HEDGING EFFECTIVENESS MEASURES FOR STOCK INDEX FUTURES
    LINDAHL, M
    JOURNAL OF FUTURES MARKETS, 1991, 11 (04) : 399 - 409
  • [8] THE HEDGING RATIONALE FOR A STOCK INDEX FUTURES CONTRACT
    WEINER, NS
    JOURNAL OF FUTURES MARKETS, 1981, 1 (01) : 59 - 76
  • [9] Hedging with China Stock Index Futures-risk Management in Emerging Market
    Li, Bai
    Lam, Kwa-Hang
    Dong, Chen
    Wang Shuangcheng
    ECONOMIC OPERATION RISK MANAGEMENT, 2010, : 1 - 7
  • [10] A Study on the Stock Index Futures Arbitraging and Hedging Model
    Lei, Tao
    Zeng, Cheng
    Li, Bin
    AFFECTIVE COMPUTING AND INTELLIGENT INTERACTION, 2012, 137 : 843 - +