Futures market performs an important function which is to provide effective hedging besides price discovery at distant … future date to the market participants. The hedging effectiveness of the futures contract shows its utility in reducing the … amount of risk. We estimated the effective hedge ratio and its hedging effectiveness for the S&P CNX Nifty futures using …

. Given that a longer settlement window may reduce the hedging effectiveness but result in cost saving, we find that the …

This paper shows that hedging by index option writers generates significant price pressure on the market as a whole …, resulting in market return reversals. Furthermore, this aggregate hedging pressure affects some stocks more than others, causing … following monthly index option settlements are negatively correlated with signed delta hedging volume preceding settlements. In …

This paper studies optimal index design to both facilitate hedging and alleviate illegal manipulation in a competitive …