Professor Parantap Basu parantap.basu@durham.ac.uk
Professor
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.
Basu, P., & Gavin, W. (2016). Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity?. Bulletin of Economic Research, 69(3), 209-215. https://doi.org/10.1111/boer.12090
Journal Article Type | Article |
---|---|
Acceptance Date | Apr 16, 2016 |
Online Publication Date | Jun 14, 2016 |
Publication Date | Jun 14, 2016 |
Deposit Date | Apr 25, 2016 |
Publicly Available Date | Jun 14, 2018 |
Journal | Bulletin of Economic Research |
Print ISSN | 0307-3378 |
Electronic ISSN | 1467-8586 |
Publisher | Wiley |
Peer Reviewed | Peer Reviewed |
Volume | 69 |
Issue | 3 |
Pages | 209-215 |
DOI | https://doi.org/10.1111/boer.12090 |
Public URL | https://durham-repository.worktribe.com/output/1406191 |
Accepted Journal Article
(129 Kb)
PDF
Copyright 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.
Cross-country Disparities in Skill Premium and Skill Acquisition
(2022)
Journal Article
Regional Disparity of Covid-19 Infections: An Investigation using State Level Indian Data
(2021)
Journal Article
Redistributive Innovation Policy, Inequality and Efficiency
(2019)
Journal Article
Technology Shocks and Business Cycles in India
(2017)
Journal Article
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
Apache License Version 2.0 (http://www.apache.org/licenses/)
Apache License Version 2.0 (http://www.apache.org/licenses/)
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search