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Minimum variance hedge ratios for stock index futures: Duration and expiration effects

โœ Scribed by Mary Lindahl

Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
946 KB
Volume
12
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis

Under current rules, margin is very low or nonexistent since T-bills can often be put up as margin for institutional investors.

'The confidence level is found by taking 1 minus the probability given in the P > t column.

DURATION AND EXPIRATION EFFECTS

/ 41 '"Linear trend regressions were also performed where the HR" values were weighted according to their standard errors, but no significant difference was found in the resulting rates of convergence.

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## I. INTRODUCTION rogram traders take matched opposite positions in the cash stock and stock index P futures markets to earn profits from intermarket mispricings. The fair relation between the futures price and the cash stock index usually is analyzed through a simple forward pricing rule based o