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The CD futures market: hedging and price discovery performance

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  • Overdahl, James Anthony

Abstract

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.

Suggested Citation

  • Overdahl, James Anthony, 1984. "The CD futures market: hedging and price discovery performance," ISU General Staff Papers 1984010108000010018, Iowa State University, Department of Economics.
  • Handle: RePEc:isu:genstf:1984010108000010018
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    File URL: http://lib.dr.iastate.edu/cgi/viewcontent.cgi?article=10018&context=rtd
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    1. Holbrook Working, 1953. "Hedging Reconsidered," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 35(4), pages 544-561.
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    Cited by:

    1. Tabesh, Hamid, 1987. "Hedging price risk to soybean producers with futures and options: a case study," ISU General Staff Papers 1987010108000010306, Iowa State University, Department of Economics.
    2. Bowman, Mark John, 1985. "The use of interest rate futures by agricultural banks," ISU General Staff Papers 1985010108000017536, Iowa State University, Department of Economics.

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