Hedging Effectiveness in the Index Futures Market
Year: 2011
Type: book-chapter
Abstract: In the textbook model of hedging an index, the solution to the problem is presented at its simplest. When a futures contract is available to track the index at all times, then one may use it to take a short position large enough to match the index holding one for one. More generally, if we recognize that in most cases the basis will not be continually zero, one can create a hedge in the same proportion (“the hedge ratio”) as the slope coefficient in the regression of the cash on the futures price. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
Source: Palgrave Macmillan UK eBooks
Authors: Laurence Copeland, Yanhui Zhu
Institution: Cardiff University
Language: English
Subfield: Accounting
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1540785530