Journal article
Naive Versus Conditional Hedging Strategies: The Case of Canadian Stock Index Futures
Abstract
Abstract The hedging performance of Canadian stock index futures, namely the now defunct TSE 300 contract and the TSE 35 currently trading on the Toronto Futures Exchange, is investigated since inception in early 1984. Results utilizing a conditional hedging strategy are compared to more naive procedures. No value added is apparent for the more complex methodology. This is probably due to the Canadian market's high degree of arbitrage …
Authors
Deaves R
Journal
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l Administration, Vol. 11, No. 3, pp. 264–270
Publisher
Wiley
Publication Date
September 1994
DOI
10.1111/j.1936-4490.1994.tb00066.x
ISSN
0825-0383