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Tests of Random Walk of Hedge Ratios and Measures of Hedging Effectiveness for Stock Indexes and Foreign Currencies

In: Foundations of Futures Markets

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Abstract

This definitive selection of Professor Malliaris’s work in the area of futures markets provides a comprehensive analysis of the field. He examines the behaviour of futures prices, investigates random walks versus chaotic dynamics, researches the relationships between agricultural prices, analyses the behavior of hedge ratios for financial futures and identifies some key determinants of price volatility. He also offers a list of important research questions for future investigation. A detailed foreword by Professor Jerome Stein is also included in the book.

Suggested Citation

  • ., 1999. "Tests of Random Walk of Hedge Ratios and Measures of Hedging Effectiveness for Stock Indexes and Foreign Currencies," Chapters, in: Foundations of Futures Markets, chapter 13, pages 243-256, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:1509_13
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    Keywords

    Economics and Finance;

    Statistics

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