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
Recommended Citation
Hunter, D. R., & Luehlfing, M. S. (2019). Futures contracts as a risk management technique--an adjusted timing model analysis. Research in Business and Economics Journal, 13, 11.