Determination of stock closing prices and hedging performance with stock indices futures |
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Authors: | Hsiu‐Chuan Lee Cheng‐Yi Chien Tzu‐Hsiang Liao |
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Institution: | 1. Finance Department, Ming Chuan University, Taipei 2. 111, Taiwan;3. Department of Finance, Feng Chia University, Taichung 4. 40724, Taiwan |
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Abstract: | This paper examines the impact of the determination of stock closing prices on futures price efficiency and hedging effectiveness with stock indices futures. The empirical results indicate that the increase in the length of the batching period of the stock closing call improves price efficiency in the futures closing prices and then enhances hedging performance in terms of the hedging risks. Additionally, from a utility‐maximization point of view, hedging performance does not improve after the introduction of the 5 min stock closing call, which can be explained by an improvement in price efficiency at the futures market close. |
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Keywords: | Stock closing prices Futures closing prices Market efficiency Hedging effectiveness G14 G15 G18 |
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