Details

Autor(en) / Beteiligte

• Lee, Hsiu-Chuan
• Chien, Cheng-Yi
• Liao, Tzu-Hsiang

Titel

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

Ist Teil von

• Accounting and finance (Parkville), 2009-12, Vol.49 (4), p.827-847

Ort / Verlag

Oxford, UK: Blackwell Publishing Ltd

Erscheinungsjahr

2009

Quelle

Business Source Ultimate【Trial: -2024/12/31】【Remote access available】

Beschreibungen/Notizen

• This paper examines the impact of the determination of stock closing prices on futures price efficiency and hedging effectiveness with stock indices futures. The empirical results indicate that the increase in the length of the batching period of the stock closing call improves price efficiency in the futures closing prices and then enhances hedging performance in terms of the hedging risks. Additionally, from a utility‐maximization point of view, hedging performance does not improve after the introduction of the 5 min stock closing call, which can be explained by an improvement in price efficiency at the futures market close.