Question
The volatility of changes in S&P futures mispricing relative to spot is estimated as 0.28% per day. On the other hand, the daily volatility of
The volatility of changes in S&P futures mispricing relative to spot is estimated as 0.28% per day. On the other hand, the daily volatility of S&P spot index returns is 1.61%. What will be the hedging effectiveness (in percent) of S&P futures contracts in the short-term hedging of S&P spot exposure?
Answer: 97
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Managerial Accounting An Introduction to Concepts Methods and Uses
Authors: Michael W. Maher, Clyde P. Stickney, Roman L. Weil
10th Edition
1111822239, 324639767, 9781111822231, 978-0324639766
