Hedging Pressure Effects in Futures Markets
Frans A. De Roon,
Theo Nijman and
Chris Veld
Journal of Finance, 2000, vol. 55, issue 3, 1437-1456
Abstract:
We present a simple model implying that futures risk premia depend on both own‐market and cross‐market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral, and currency) indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross‐hedging pressures from within the group significantly affect futures returns. These effects remain significant after controlling for a measure of price pressure. Finally, we show that hedging pressure also contains explanatory power for returns on the underlying asset, as predicted by the model.
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (238)
Downloads: (external link)
https://doi.org/10.1111/0022-1082.00253
Related works:
Working Paper: Hedging pressure effects in futures markets (2000) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:55:y:2000:i:3:p:1437-1456
Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp
Access Statistics for this article
More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().