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Hedging with stock index futures: Theory and application in a new market

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  • Stephen Figlewski

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  • Stephen Figlewski, 1985. "Hedging with stock index futures: Theory and application in a new market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(2), pages 183-199, June.
    • Handle: RePEc:wly:jfutmk:v:5:y:1985:i:2:p:183-199
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    Cited by:

    1. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
    2. David C. Ling, 1993. "Mortgage‐Backed Futures and Options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 47-67, March.
    3. Bolandifar, Ehsan & Chen, Zhong, 2020. "Hedging through index-based price contracts in commodity-based supply chains," Omega, Elsevier, vol. 90(C).
    4. Lumengo Bonga-Bonga & Ekerete Umoetok, 2016. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 3999-4018, September.
    5. Jerry A. Hammer, 1990. "Hedging Performance And Hedging Objectives: Tests Of New Performance Measures In The Foreign Currency Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 307-323, December.
    6. Yu, Xing & Li, Yanyan & Lu, Junli & Shen, Xilin, 2023. "Futures hedging in crude oil markets: A trade-off between risk and return," Resources Policy, Elsevier, vol. 80(C).
    7. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
    8. G.D. Hancock, 2005. "A text book treatment of calculating returns on non‐traditional portfolios," Review of Financial Economics, John Wiley & Sons, vol. 14(2), pages 173-186.
    9. Cummins, J. David & Lalonde, David & Phillips, Richard D., 2004. "The basis risk of catastrophic-loss index securities," Journal of Financial Economics, Elsevier, vol. 71(1), pages 77-111, January.
    10. Hakan Er & Adnan Hushmat, 2017. "The application of technical trading rules developed from spot market prices on futures market prices using CAPM," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(3), pages 313-353, December.
    11. Darren Butterworth & Phil Holmes, 2001. "The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 57-68.
    12. Alexandridis, George & Sahoo, Satya & Song, Dong-Wook & Visvikis, Ilias, 2018. "Shipping risk management practice revisited: A new portfolio approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 110(C), pages 274-290.
    13. Kotkatvuori-Örnberg, Juha, 2016. "Dynamic conditional copula correlation and optimal hedge ratios with currency futures," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 60-69.

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