## Abstract This study investigates the efficiency of the New York Mercantile Exchange (NYMEX) Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased
Speculative Market Efficiency and Hedging Effectiveness of Emerging Chinese Index Futures Market
β Scribed by Wen, Xiaoqian; Wei, Yu; Huang, Dengshi
- Book ID
- 121344506
- Publisher
- Haworth Press Inc
- Year
- 2011
- Tongue
- English
- Weight
- 333 KB
- Volume
- 16
- Category
- Article
- ISSN
- 1547-5778
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ost empirical work and empirically oriented illustrations dealing with M the hedging effectiveness of futures contracts utilize either one of two approaches, namely: Risk minimization or payoff maximization. In the first approach, hedging is perceived as a combination of a futures position with an e
It should be emphasized that the hedge position is a long-long or short-short hedge rather than the conventional long-short hedge, because the USDX futures price is quoted in "European terms" whereas the component FX forward prices are expressed in 'American terms.