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Introducing new futures contracts: reinforcement versus cannibalism

  • Pennings, Joost M. E.
  • M. Leuthold, Raymond

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 20 (2001)
Issue (Month): 5 (October)
Pages: 659-675

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Handle: RePEc:eee:jimfin:v:20:y:2001:i:5:p:659-675
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  1. Anderson, Ronald W & Danthine, Jean-Pierre, 1980. " Hedging and Joint Production: Theory and Illustrations," Journal of Finance, American Finance Association, vol. 35(2), pages 487-98, May.
  2. Merton, Robert C., 1995. "Financial innovation and the management and regulation of financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 461-481, June.
  3. Bigelow, John Payne, 1993. "Consistency of mean-variance analysis and expected utility analysis : A complete characterization," Economics Letters, Elsevier, vol. 43(2), pages 187-192.
  4. Robert Ferguson & Dean Leistikow, 1998. "Are regression approach futures hedge ratios stationary?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(7), pages 851-866, October.
  5. Tashjian Elizabeth & Weissman Maayana, 1995. "Advantages to Competing with Yourself: Why an Exchange Might Design Futures Contracts with Correlated Payoffs," Journal of Financial Intermediation, Elsevier, vol. 4(2), pages 133-157, April.
  6. Tew, Bernard V & Reid, Donald W & Witt, Craig A, 1991. "The Opportunity Cost of a Mean-Variance Efficient Choice," The Financial Review, Eastern Finance Association, vol. 26(1), pages 31-43, February.
  7. Pulley, Lawrence B., 1981. "A General Mean-Variance Approximation to Expected Utility for Short Holding Periods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 361-373, September.
  8. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-70, March.
  9. Gemmill, Gordon, 1994. "Margins and the safety of clearing houses," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 979-996, October.
  10. Zilcha, Itzhak & Broll, Udo, 1992. "Optimal hedging by firms with multiple sources of risky revenues," Economics Letters, Elsevier, vol. 39(4), pages 473-477, August.
  11. Chang, Carolyn W & Chang, Jack S K & Fang, Hsing, 1996. "Optimal Futures Hedge with Marketing-to-Market and Stochastic Interest Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 309-26, Fall.
  12. Lapan, Harvey E. & Moschini, GianCarlo, 1994. "Futures Hedging Under Price, Basis and Production Risk," Staff General Research Papers 10041, Iowa State University, Department of Economics.
  13. Goldberg, Lawrence G. & Hachey, George Jr., 1992. "Price volatility and margin requirements in foreign exchange futures markets," Journal of International Money and Finance, Elsevier, vol. 11(4), pages 328-339, August.
  14. Johnston, Elizabeth Tashjian & McConnell, John J, 1989. "Requiem for a Market: An Analysis of the Rise and Fall of a Financial Futures Contract," Review of Financial Studies, Society for Financial Studies, vol. 2(1), pages 1-23.
  15. Kilcollin, T. Eric & Frankel, Michael E. S., 1993. "Futures and options markets: Their new role in Eastern Europe," Journal of Banking & Finance, Elsevier, vol. 17(5), pages 869-881, September.
  16. Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-96, December.
  17. Cuny, Charles J, 1993. "The Role of Liquidity in Futures Market Innovations," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 57-78.
  18. Rolfo, Jacques, 1980. "Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 100-116, February.
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