Cargando…
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...
| Autores principales: | , , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Author(s). Published by Elsevier B.V.
2022
|
| Materias: | |
| 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 |