The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets

In this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ratios, results indicate that the CSI300 spot index presents decreased effect...

Descripción completa

Detalles Bibliográficos
Autores principales: Corbet, Shaen, Hou, Yang (Greg), Hu, Yang, Oxley, Les
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8437690/
https://www.ncbi.nlm.nih.gov/pubmed/34539027
http://dx.doi.org/10.1016/j.ribaf.2021.101510

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8437690/
https://www.ncbi.nlm.nih.gov/pubmed/34539027
http://dx.doi.org/10.1016/j.ribaf.2021.101510

Ejemplares similares