Market volatility and the demand for hed
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Chang, Eric; Chou, Ray Y.; Nelling, Edward F.
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Article
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2000
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John Wiley and Sons
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English
β 228 KB
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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,