.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return … volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … finding is that, after the introduction of the S&P 500 index futures and options contracts, stocks added to the S&P 500 …

When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to … estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the … futures market return using ordinary least squares. To accommodate time-varying volatility in asset returns, estimators based …

This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur Index Futures …

This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets …

futures contracts to lock in a price for milk produced. The producer's risk preferences dictate the producer's hedge ratio …

between local cash prices and futures prices is an important part of minimizing the price risk associated with growing and … futures and options contracts. To best select between these tools, the producer must be able to interpret different price … is the difference between the local cash price for hard red spring wheat and the current price for the relevant futures …

utility, futures, option, risk management, value at risk. …