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Cross hedging with stock index futures

This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia. Our daily dataset spans from August 2002 through November 2019. We apply the OLS, VECM and Maxima...

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Bibliographic Details
Main Authors: Zainudin, Ahmad Danial, Mohamad, Azhar
Format: Article
Language:English
English
Published: Elsevier 2021
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/92373/7/92373_Cross%20hedging%20with%20stock%20index%20futures.pdf
http://irep.iium.edu.my/92373/8/92373_Cross%20hedging%20with%20stock%20index%20futures_Scopus.pdf
http://irep.iium.edu.my/92373/
https://www.sciencedirect.com/science/article/abs/pii/S1062976921001447
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http://irep.iium.edu.my/92373/7/92373_Cross%20hedging%20with%20stock%20index%20futures.pdf
http://irep.iium.edu.my/92373/8/92373_Cross%20hedging%20with%20stock%20index%20futures_Scopus.pdf
http://irep.iium.edu.my/92373/
https://www.sciencedirect.com/science/article/abs/pii/S1062976921001447

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