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

✍ Scribed by Stephen Figlewski

Publisher
John Wiley and Sons
Year
1985
Tongue
English
Weight
966 KB
Volume
5
Category
Article
ISSN
0270-7314

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This study examines the relation between stock market volatility and the demand for hedging in S&P 500 stock index futures contracts. Open interest is used as a proxy for hedging demand. The analysis employs unique data that identify separately the open interest of large hedgers, large speculators,

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