Skip to main content

Research Repository

Advanced Search

Hedging effectiveness in the index futures market (2010)
Book Chapter
Copeland, L., & Zhu, Y. (2010). Hedging effectiveness in the index futures market. In G. N. Gregoriou, & R. Pascalau (Eds.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, 97-117. Palgrave-MacMillan

This paper addresses the question of how far hedging effectiveness can be improved by the use of more sophisticated models of the relationship between futures and spot prices. Working with daily data from six major index futures markets, we show that... Read More about Hedging effectiveness in the index futures market.