The CD futures market: hedging and price discovery performance

dc.contributor.author Overdahl, James
dc.contributor.department Economics
dc.date 2018-08-15T18:14:56.000
dc.date.accessioned 2020-07-02T06:10:43Z
dc.date.available 2020-07-02T06:10:43Z
dc.date.copyright Sun Jan 01 00:00:00 UTC 1984
dc.date.issued 1984
dc.description.abstract <p>This study was initiated to examine the hedging and price discovery performance of the CD futures market. In the first part of the study, a method of evaluating the performance of anticipatory hedges was developed. This method improved upon the methods of others by attempting to account for hedgers' expectations of future spot rates;In the second part of the study, a direct test of the weak-form efficient markets hypothesis was applied to the CD futures market. Efficient markets ensure that the market is performing its price discovery function;The results of the study demonstrate that the CD futures market is adequately performing both its hedging and price discovery functions.</p>
dc.format.mimetype application/pdf
dc.identifier archive/lib.dr.iastate.edu/rtd/9019/
dc.identifier.articleid 10018
dc.identifier.contextkey 6347551
dc.identifier.doi https://doi.org/10.31274/rtd-180813-8963
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath rtd/9019
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/82072
dc.language.iso en
dc.source.bitstream archive/lib.dr.iastate.edu/rtd/9019/r_8423664.pdf|||Sat Jan 15 02:27:15 UTC 2022
dc.subject.disciplines Finance
dc.subject.disciplines Finance and Financial Management
dc.subject.keywords Economics
dc.title The CD futures market: hedging and price discovery performance
dc.type article
dc.type.genre dissertation
dspace.entity.type Publication
relation.isOrgUnitOfPublication 4c5aa914-a84a-4951-ab5f-3f60f4b65b3d
thesis.degree.level dissertation
thesis.degree.name Doctor of Philosophy
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