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Original Articles

Ex ante hedge ratios and the hedging effectiveness of the FTSE-100 stock index futures contract

Pages 56-59 | Published online: 05 Oct 2010

References

  • Figlewski , S. 1984 . Hedging performance and basis risk in stock index futures . Journal of Finance , 39 : 657 – 669 .
  • Figlewski , S. 1985 . Hedging with stock index futures: theory and application in a new market . Journal of Futures Markets , 5 : 183 – 199 .
  • Graham , D. and Jennings , R. 1987 . Systematic risk, dividend yield and the hedging performance of stock index futures . Journal of Futures Markets , 7 : 1 – 13 .
  • Holmes , P. 1994 . Stock index futures hedging: hedge ratio estimation, duration effects, expiration effects and hedge ratio stability , Working paper no. 123 Department of Economics, University of Durham .
  • Johnson , L. 1960 . The theory of hedging and speculation in commodity futures . Review of Economic Studies , 27 : 139 – 151 .
  • Junkus , J. C. and Lee , C. F. 1985 . Use of three stock index futures in hedging decisions . Journal of Futures Markets , 5 : 201 – 222 .
  • Lindahl , M. 1992 . Minimum variance hedge ratios for stock index futures: duration and expiration effects . Journal of Futures Markets , 12 : 33 – 53 .
  • Malliaris , A. G. and Urrutia , J. 1991 . Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies . Journal of Futures Markets , 11 : 55 – 68 .

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