NAIVE VERSUS CONDITIONAL HEDGING STRATEGIES - THE CASE OF CANADIAN STOCK INDEX FUTURES

Authors
DEAVES R
Citation
R. Deaves, NAIVE VERSUS CONDITIONAL HEDGING STRATEGIES - THE CASE OF CANADIAN STOCK INDEX FUTURES, Canadian journal of the Administrative Sciences Association of Canada, 11(3), 1994, pp. 264-270
Citations number
19
Categorie Soggetti
Business
Journal title
Canadian journal of the Administrative Sciences Association of Canada → ACNP
ISSN journal
08250383
Volume
11
Issue
3
Year of publication
1994
Pages
264 - 270
Database
ISI
SICI code
0825-0383(1994)11:3<264:NVCHS->2.0.ZU;2-6
Abstract
The hedging performance of Canadian stock index futures, namely the no w defunct TSE 300 contract and the TSE 35 currently trading on the Tor onto 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 meth odology. This is probably due to the Canadian market's high degree of arbitrage efficiency and the monthly contract cycle, both in effect af ter the first year of trading.