Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until … spot market can be hedged for $0.95316 with a short position in the futures market. Furthermore, optimal hedge ratio is … actively by considering the fluctuating cross correlations in spot and futures markets. …

use portfolio variance reduction as the measure of hedging effectiveness. We find that timevarying hedge ratios outperform …

almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures … contracts. We conclude that BIST 30 equity futures contracts provide an efficient hedging mechanism for investors aiming to …-TRY futures contracts. Furthermore, the hedging effectiveness of currency futures contracts is negatively affected during the …

) decided to discontinue the trading in single stock futures (SSFs) at the Karachi Stock Exchange (KSE). On 27th July 2009 … futures contracts, as well as, the upcoming options contracts. In this vein, this study attempts to investigate the impact of … parallel SSFs markets on the underlying spot market by examining whether the introduction of futures has played a role in …

different hedging strategies based on different diffusion models …

Using futures data for the period 1990 - 2008, this paper finds evidence that expansionary monetary policy surprises … across different commodities and commodity groups. The results also suggest that the positions of futures traders for the …

This paper deals with the modeling of the relationship of European Union Allowance spot- and futures-prices within the … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …

risk premium and implement this methodology using more than 20 years of options and futures data on three major energy …

sacrificing growth rate to invest proportion in risk free assets. Simulation results and China commodity futures empirical results …