This study provides the first investigation of the hedging effectiveness of the FTSEMid250 stock index futures contract. In contrast to previous studies, the portfolios to be hedged are actual diversified portfolios in the form of investment trust companies (ITCs). Furthermore, in addition to...

This paper investigates the pricing efficiency of the FTSE 100 and FTSE mid 250 index futures contracts traded in the UK. The results show that while there are many deviations from fair value, these are generally quite small in magnitude with both contracts tending to be efficiently priced....

This paper examines the hedging effectiveness of the FTSE-100 stock index futures contract over the period 1984-92. Previous studies have examined this issue using ex post hedge ratios, resulting in an overestimation of hedging performance. This study utilizes ex ante hedge ratios which are...

This paper examines the extent to which futures price changes are driven by noise and information for three U.K. futures contracts by utilizing T. Andersen's (1996) specification of the mixture of distributions hypothesis. Use of the generalized method of moments approach demonstrates that the...

This paper provides the first investigation of the hedging effectiveness of the FTSE 100 and FTSE Mid 250 stock index futures contracts using hedge ratios generated within an extended mean Gini framework. This framework provides a robust alternative to the standard minimum variance approach, by...

Considerable evidence from many countries suggests momentum strategies generate profits. These have been difficult to rationalise and evidence on the sources of such profitability is inconclusive. We utilise a sample of optioned stocks, characterised by high liquidity, high market capitalisation...