Optimal Hedging Strategies of Stock Index Futures Based on the Perspective of Information Asymmetry ()
ABSTRACT
Based on two different risk measurement criteria, this article studied
the optimal hedging strategies of stock index futures in the case of asymmetric
information, and discussed the influence of insider information on the hedging
effect. Through simulation analysis, it can be shown that hedging people with
insider information can save hedging costs to a certain extent, which also
explains the reason why investors try to obtain corporate information in actual
investment activities.
Share and Cite:
Guo, J. (2020) Optimal Hedging Strategies of Stock Index Futures Based on the Perspective of Information Asymmetry.
Open Journal of Applied Sciences,
10, 15-24. doi:
10.4236/ojapps.2020.102002.
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