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Estimation Of Hedge Ratios And Analysis Of Hedging Effectiveness
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Book Synopsis Hedge Ratio Estimation and Hedging Effectiveness by : Dimitris Kenourgios
Download or read book Hedge Ratio Estimation and Hedging Effectiveness written by Dimitris Kenourgios and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hedging effectiveness of the Standard amp; Poor's (Samp;P) 500 stock index futures contract using weekly settlement prices for the period July 3rd, 1992 to June 30th, 2002. Particularly, it focuses on three areas of interest: the determination of the appropriate model for estimating a hedge ratio that minimizes the variance of returns; the hedging effectiveness and the stability of optimal hedge ratios through time; an in-sample forecasting analysis in order to examine the hedging performance of different econometric methods. The hedging performance of this contract is examined considering alternative methods, both constant and time-varying, for computing more effective hedge ratios. The results suggest the optimal hedge ratio that incorporates nonstationarity, long run equilibrium relationship and short run dynamics is reliable and useful for hedgers. Comparisons of the hedging effectiveness and in-sample hedging performance of each model imply that the error correction model (ECM) is superior to the other models employed in terms of risk reduction. Finally, the results for testing the stability of the optimal hedge ratio obtained from the ECM suggest that it remains stable over time.
Book Synopsis Estimation of Hedge Ratios and Analysis of Hedging Effectiveness by : Wen-Yen Peng
Download or read book Estimation of Hedge Ratios and Analysis of Hedging Effectiveness written by Wen-Yen Peng and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedge Ratio Estimation and Hedging Effectiveness of Stock Index Futures by : Panagiotis Drosos
Download or read book Hedge Ratio Estimation and Hedging Effectiveness of Stock Index Futures written by Panagiotis Drosos and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Determination of an Optimal Hedge Ratio and a Generalized Measure of Risk by : Gang Li
Download or read book The Determination of an Optimal Hedge Ratio and a Generalized Measure of Risk written by Gang Li and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Optimal Hedge Ratios for Currency Futures and Measurement of Hedging Effectiveness by : Huijun Dai
Download or read book Estimation of Optimal Hedge Ratios for Currency Futures and Measurement of Hedging Effectiveness written by Huijun Dai and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedge Ratio Estimation and Hedging Effectiveness by : Jing Li
Download or read book Hedge Ratio Estimation and Hedging Effectiveness written by Jing Li and published by . This book was released on 2009 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedge Ratio Estimation and Hedging Effectiveness in China's Index Futures Market by : Yi Ding
Download or read book Hedge Ratio Estimation and Hedging Effectiveness in China's Index Futures Market written by Yi Ding and published by . This book was released on 2008 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedging with Currency Futures by : Qian Meng
Download or read book Hedging with Currency Futures written by Qian Meng and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation and Performance Evaluation of Optimal Hedge Ratios in the Carbo Market of the European Union Emissions Trading Scheme by : John Hua Fan
Download or read book Estimation and Performance Evaluation of Optimal Hedge Ratios in the Carbo Market of the European Union Emissions Trading Scheme written by John Hua Fan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Following the introduction of the European Union Emissions Trading Scheme (EU-ETS), CO2 emissions have become a tradable commodity. As a regulated party, emitters are forced to take into account the additional cost of carbon emissions in their production costs structure. Given the high volatility in the carbon price, the importance of price risk management becomes unquestionable. This study is the first attempt that has been made to calculate hedge ratios and to investigate their hedging effectiveness in the EU-ETS carbon market by applying conventional, recently developed estimation models. These hedge ratios are then compared with those derived for other markets. In spite of the uniqueness and novelty of the carbon market, the results of the study are consistent with those found in other markets - that the hedge ratio is in the range of 0.5-1.0 and is still best estimated by simple regression models.
Book Synopsis The Hedging Effectiveness of Single Stock Futures by : Nathalie Senez
Download or read book The Hedging Effectiveness of Single Stock Futures written by Nathalie Senez and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the hedging effectiveness of Universal Stock Futures trading in London at protecting the underlying spot position from variations in portfolio returns using four different hedge ratios. The hedge ratios under analysis are: the naive 1:1 hedge ratio, the risk-minimizing hedge ratio, a modified version of the risk-minimizing hedge ratio and a time-varying hedge ratio under a GARCH (1,1) process which is allowed to change on a daily basis. The aim of the research is to examine which hedge ratio provides the best protection from market fluctuations when hedging a stock spot position with its futures contract. The findings suggest that the time-varying hedge ratio provides a better hedging strategy than the other techniques although some companies exhibited a smaller portfolio variance when protected with a constant hedge ratio.
Book Synopsis Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets by : Brajesh Kumar
Download or read book Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets written by Brajesh Kumar and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines hedging effectiveness of futures contract on a financial asset and commodities in Indian markets. In an emerging market context like India, the growth of capital and commodity futures market would depend on effectiveness of derivatives in managing risk. For managing risk, understanding optimal hedge ratio is critical for devising effective hedging strategy. We estimate dynamic and constant hedge ratio for Samp;P CNX Nifty index futures, Gold futures and Soybean futures. Various models (OLS, VAR, and VECM) are used to estimate constant hedge ratio. To estimate dynamic hedge ratios, we use VAR-MGARCH. We compare in-sample and out-of-sample performance of these models in reducing portfolio risk. It is found that in most of the cases, VAR-MGARCH model estimates of time varying hedge ratio provide highest variance reduction as compared to hedges based on constant hedge ratio. Our results are consistent with findings of Myers (1991), Baillie and Myers (1991), Park and Switzer (1995a,b), Lypny and Powella (1998), Kavussanos and Nomikos (2000), Yang (2001), and Floros and Vougas (2006).
Book Synopsis M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets by : Wenling Yang
Download or read book M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets written by Wenling Yang and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Assessing Hedge Effectiveness Within the Framework of SFAS 80 by : Mark Wendell Finn
Download or read book Assessing Hedge Effectiveness Within the Framework of SFAS 80 written by Mark Wendell Finn and published by . This book was released on 1995 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Effectiveness of Time-Varying Hedge Ratio with Constant Conditional Correlation by : Sheraz Ahmed
Download or read book Effectiveness of Time-Varying Hedge Ratio with Constant Conditional Correlation written by Sheraz Ahmed and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study demonstrates how hedging methodologies can be evaluated in a modern risk management context and provides a hedging effectiveness of dynamic hedge ratios. The results provide an indication of the superior performance of the time varying hedge ratio as compared with traditional constant ratio. Time varying hedge ratio estimated by CCC-GARCH model shows a clear advantage over linear regression based constant hedge ratio in minimizing the variance (risk) of portfolio returns over the whole 10 years of analysis. The time-varying hedge ratio estimated in our study provides an efficient measure for bond investors to maximize the value of their investments by changing positions in both spot and future markets of U.S. Treasuries with the change in actual yields of cash market. The results are robust in the sense that constant conditional correlation model does take account of the conditional heteroskedasticity present in the data in case of spot market.
Book Synopsis The Sensitivity of the Optimal Hedge Ratio to Model Specification by : Imad A. Moosa
Download or read book The Sensitivity of the Optimal Hedge Ratio to Model Specification written by Imad A. Moosa and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the effect of the choice of the model used to estimate the hedge ratio on the effectiveness of futures and cross-currency hedging using data from the stock and foreign exchange markets. Four different models are used for this purpose to estimate the hedge ratio. The results show that model specification has little effect on the hedging effectiveness. It seems that what matters most is the correlation between the prices of the unhedged position and the hedging instrument.
Book Synopsis A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio by : Massimiliano Barbi
Download or read book A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio written by Massimiliano Barbi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose an innovative theoretical model to determine the optimal hedge ratio (OHR) with futures contracts as the minimizer of a quantile risk measure. This class of measures is very large and allows to recover the minimum-VaR and the minimum-expected shortfall hedge ratios as special cases. The copula representation of quantiles yields an accurate and flexible estimation of the dependence structure between the spot and the futures position. Employing data for the main UK and US indices, and EUR/USD and EUR/GBP exchange rates, we investigate the hedging effectiveness of our model compared to that of existing approaches. We document that our model improves upon the hedging performance of minimum-VaR and minimum-expected shortfall hedge ratios, provided that the copula shows an acceptable fit to the data.
Book Synopsis Hedge Ratio, Hedging Strategy, and Hedging Effectiveness by : Yun C. Lin
Download or read book Hedge Ratio, Hedging Strategy, and Hedging Effectiveness written by Yun C. Lin and published by . This book was released on 1987 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:
