The influence of the spillover between futures and spot markets on hedging policy: evidence from Chinese stock markets
This paper examines the impact of risk spillovers between Chinese stock and futures markets on stock hedging policies. This paper calculates the correlation between the overall risk spillover and the hedging ratio, effectiveness, and hedging cost based on the hedging portfolio of stock futures of th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2023-11-01
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| Series: | Frontiers in Physics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fphy.2023.1293182/full |