| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089634 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We examine whether tighter futures price limits reduce futures hedge effectiveness. ⺠A new model is used to uncover the dynamics when futures are subject to limits. ⺠We consider US soybeans and corn markets. ⺠A limit day frequency of 3-4% will adversely affect hedging outcomes.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jonathan Dark,