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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Main Authors: | Zainudin, Ahmad Danial, Mohamad, Azhar |
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Format: | Article |
Language: | English English |
Published: |
Elsevier
2021
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Subjects: | |
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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