Hedging Effectiveness of Applying Constant and Time Varying Hedge Ratio:Evidence from Taiwan Stock and Stock Index Futures
碩士 === 國立臺北大學 === 經濟學系 === 99 === This paper investigates the hedging effectiveness of the Taiwan Futures Exchange (TAIFEX) stock index futures contract using daily settlement prices for the period July 21, 1998 to December 31, 2010. The minimum variance hedge ratios (MVHRs) are estimated from the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12204150239952412117 |