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On a mean-generalized semivariance approach to determining the hedge ratio

Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The journal of futures markets 21 (2001) 6, pp. 581-598

Persistent link: https://www.econbiz.de/10001579727

Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The quarterly review of economics and finance : journal … 43 (2003) 3, pp. 433-465

Persistent link: https://www.econbiz.de/10001782501

An empirical analysis of the relationship between the hedge ratio and hedging horizon : a simultaneous estimation of the short- and long-run hedge ratios

Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The journal of futures markets 24 (2004) 4, pp. 359-386

Persistent link: https://www.econbiz.de/10002005377

Do the pure martingale and joint normality hypotheses hold for futures contracts? : implications for the optimal hedge ratios

Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The quarterly review of economics and finance : journal … 48 (2008) 1, pp. 153-174

Persistent link: https://www.econbiz.de/10003683377

Joint normality test for the returns on the futures and spot

Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - 2024

Persistent link: https://www.econbiz.de/10015046717

Hedge ratios : theory and applications

Chen, Sheng-syan; Lee, Cheng F.; Lin, Fu-Lai; Shrestha, … - 2024

Persistent link: https://www.econbiz.de/10015046797

Hedging Performance and Stock Market Liquidity : Evidence from the Taiwan Futures Market

Lee, Hsiu-Chuan - 2012

This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results...

Persistent link: https://www.econbiz.de/10013106847

Determination of stock closing prices and hedging performance with stock indices futures

Lee, Hsiu-chuan; Chien, Cheng-yi; Liao, Tzu-hsiang - In: Accounting and finance : journal of the Accounting … 49 (2009) 4, pp. 827-847

Persistent link: https://www.econbiz.de/10003924038

Information, hedging demand, and institutional investors : evidence from the Taiwan Futures Exchange

Chien, Cheng-yi; Lee, Hsiu-chuan; Tai, Shih-wen; Liao, … - In: Journal of multinational financial management 23 (2013) 5, pp. 394-414

Persistent link: https://www.econbiz.de/10010252378

Hedging performance and stock market liquidity : evidence from the Taiwan futures market

Lee, Hsiu-chuan; Chien, Cheng-yi - In: Asia-Pacific journal of financial studies 39 (2010) 3, pp. 396-415

Persistent link: https://www.econbiz.de/10009230516