Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

Negative correlation between stock and futures returns : an unexploited hedging opportunity?

Basu, P. and Gavin, W.T. (2016) 'Negative correlation between stock and futures returns : an unexploited hedging opportunity?', Bulletin of economic research., 69 (3). pp. 209-215.

Abstract

The negative correlation between equity and commodity futures returns is widely perceived by investors as an unexploited hedging opportunity. A Lucas (1982) asset-pricing model is adapted to analyse the fundamentals driving equity and commodity futures returns. Using the model we argue that such a negative correlation could arise as an equilibrium relationship which reflects traders' perceptions about the shocks driving the fundamentals such as energy and consumables, and does not necessarily indicate any hedging opportunity.

Item Type:Article
Full text:Publisher-imposed embargo until 14 June 2018.
(AM) Accepted Manuscript
File format - PDF
(126Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1111/boer.12090
Publisher statement:This is the accepted version of the following article: Basu, P. & Gavin, W.T. (2016). Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity? Bulletin of Economic Research, which has been published in final form at https://doi.org/10.1111/boer.12090. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Record Created:26 Apr 2016 09:50
Last Modified:04 Jul 2017 09:35

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Look up in GoogleScholar | Find in a UK Library