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Hedging effectiveness and pricing of stock index futures in the presence of index participation units

Sami Akkaoui

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Abstract

Investigates whether the introduction of the Toronto Index Participation Units (TIPs) have made the Toronto futures market more efficient. Focuses on the hedging and mispricing of futures contracts.

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What this paper is about

Investigates whether the introduction of the Toronto Index Participation Units (TIPs) have made the Toronto futures market more efficient. Focuses on the hedging and mispricing of futures contracts.

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Available abstract

Investigates whether the introduction of the Toronto Index Participation Units (TIPs) have made the Toronto futures market more efficient. Focuses on the hedging and mispricing of futures contracts.

Key concepts: Stock index futures, Futures contract, Index (typography), Stock market index, Financial economics, Econometrics, Capitalization-weighted index, Economics

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