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Ex ante heding effectiveness of UK stock index futures contracts : evidence for the FTSE 100 and FTSE mid 250 contracts

Butterworth, Darren; Holmes, Philip - In: European financial management : the journal of the … 6 (2000) 4, pp. 441-457

Persistent link: https://www.econbiz.de/10001531923

The economics of stock index futures : theory and evidence

Holmes, Philip - 1993

Persistent link: https://www.econbiz.de/10000912337

The effects of stock index futures trading on stock index volatility : an analysis of the asymmetric response of volatility to news

Antoniou, Antonios - In: The journal of futures markets 18 (1998) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10001239196

Futures trading, information and spot price volatility : evidence for the FTSE-100 stock index futures contract using GARCH

Antoniou, Antonios - In: Journal of banking & finance 19 (1995) 1, pp. 117-129

Persistent link: https://www.econbiz.de/10001181872

Futures market efficiency, the unbiasedness hypothesis and variance-bounds tests : the case of the FTSE-100 futures contract

Antoniou, Antonios - In: Bulletin of economic research 48 (1996) 2, pp. 115-128

Persistent link: https://www.econbiz.de/10001201748

Systematic risk and returns to stock index futures contracts : international evidence

Antoniou, Antonios - In: The journal of futures markets 14 (1994) 7, pp. 773-787

Persistent link: https://www.econbiz.de/10001171163

The hedging effectiveness of UK stock index futures contracts using an extended mean gini approach : evidence for the FTSE 100 and FTSE mid 250 contracts

Holmes, Phil; Butterworth, Darren - 2001

Persistent link: https://www.econbiz.de/10001641293

The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach : Evidence for the FTSE 100 and FTSE Mid250 Contracts

Butterworth, Darren - 2016

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...

Persistent link: https://www.econbiz.de/10013004394

The hedging effectiveness of UK stock index future contracts using an extended mean Gini approach : evidence for the FTSE 100 and FTSE Mid250 contracts

Butterworth, Darren; Holmes, Philip - In: Multinational finance journal : MF ; quarterly … 9 (2005) 3/4, pp. 131-160

Persistent link: https://www.econbiz.de/10003600212