Degree Type

Dissertation

Date of Award

1984

Degree Name

Doctor of Philosophy

Department

Economics

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.

DOI

https://doi.org/10.31274/rtd-180813-8963

Publisher

Digital Repository @ Iowa State University, http://lib.dr.iastate.edu/

Copyright Owner

James Anthony Overdahl

Language

en

Proquest ID

AAI8423664

File Format

application/pdf

File Size

86 pages

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