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Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis

  • Published:2021-03 Issue: Volume:565 Page:125553
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Ruan Qingsong,Zhou Mi,Yin Linsen,Lv Dayong

Funder

Soft Science Project of Science and Technology Commission of Shanghai Municipality, China

Shanghai Planning Office of Philosophy and Social Science, China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference62 articles.

1. Capital-market liberalization, globalization, and the IMF;Stiglitz;Oxf. Rev. Econ. Policy,2004

2. Bank exposure to interest rate risks during financial liberalization: Evidence from South Korea;Aggarwal;Asia-Pac Financ. Mark.,2005

3. Financial liberalization and bank risk-taking: International evidence;Cubillas;J. Financ. Stab.,2014

4. The market for futures contracts on Canadian bankers’ acceptances;Harvey,1996

5. Does the “Bund” dominate price discovery in Euro bond futures? Examining information shares;Fricke;J. Bank. Financ.,2011

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