Hedge Ratios in Hong Kong Hang Seng Index Futures

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Hedge Ratios in Hong Kong Hang Seng Index Futures

This paper examines hedging in Hong Kong stock index futures. It focuses on different econometric models to estimate constant and time-varying hedge ratios. For both nearby contract and four-month contract of Hang Seng index futures, the various econometric models are used to derive and estimate und...

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Bibliographic Details
Main Author:	Lu, Jiacong
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2010
Online Access:	https://eprints.nottingham.ac.uk/23940/

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