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Hedging Pressure Effects in Futures Markets
Open accessAbstract
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.
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Cited by
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Cheng, I.-H., & Xiong, W. (2014) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-110613-034432 · Cited by 810
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Büyükşahin, B., & Robe, M. A. (2014) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2013.08.004 · Cited by 616
The Role of Speculation in Oil Markets: What Have We Learned So Far?
Fattouh, B., Kilian, L., & Mahadeva, L. (2013) · The Energy Journal · doi:10.5547/01956574.34.3.2 · Cited by 491
Commodities and Equities: Ever a “Market of One”?
Büyüksahin, B., Haigh, M. S., & Robe, M. A. (2009) · The Journal of Alternative Investments · doi:10.3905/jai.2010.12.3.076 · Cited by 269
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Metadata
- Authors
- De Roon, F. A., Nijman, T. E., & Veld, C.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-06
- Volume
- 55
- Issue
- 3
- Pages
- 1437-1456
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2107592233
- Cited by
- 478
- References
- 0
- FWCI
- 5.52
- Type
- journal article
- Language
- en
- Open access
- green
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- De Roon, F. A., Nijman, T. E., & Veld, C. (2000). Hedging Pressure Effects in Futures Markets. The Journal of Finance. https://doi.org/10.1111/0022-1082.00253
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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