Hedging Pressure Effects in Future Markets  

Oleh:

Roon, Frans A. De ; Nijman, Theo E. ; Veld, Chris

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 3 (2000), page 1437-1456.
Topik: hedging; studies; hedging; futures market; effects; models; risk premiums; regression analysis
Fulltext: p 1437.pdf (110.02KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We present a simple model implying that futures risk premia depend on both own market and cross - market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral and currency) indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross - hedhong pressures from within the group significanlty affect future returns. These affects remain significant after controlling for a measure of price pressure, Finally, we show that hedging pressure also contains explanatory power for returns on the underlying asset, as predicted by the model.

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