Futures Contracts as a Risk Management Technique--An Adjusted Timing Model Analysis

Document Type

Article

Publication Date

2019

Department

School of Business

Abstract

This study employs an adjusted timing model (i.e., a market timing model adjusted by both a lower as well as an upper arbitrage bound) in order to gain insights concerning the potential efficacy of futures contracts as a risk management technique. Unexpectedly, the overall results suggest that a majority of the daily futures prices analyzed in this study are located outside the related lower or upper arbitrage bounds estimated in this study. Admittedly, to varying degrees, these results may be associated with the limitations of the study. In this regard, the limitations of this study are provided to enhance future research.

Volume

13

Issue

11

ISSN

19413424, 23275405

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