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Author : Charles Vince
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.:/5 (225 download)
Download or read book The Hedging Effectiveness of Optimal Hedge Ratios in the Australian Futures Market written by Charles Vince and published by . This book was released on 2003 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wenling Yang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (225 download)
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:
Download or read book Hedge Ratios and Hedging Effectiveness of the SPI Futures Contract written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David E. Allen
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (129 download)
Download or read book Using Regression Techniques to Estimate Futures Hedge Ratios, Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures written by David E. Allen and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper uses Australian bond futures data from the Sydney Futures Exchange to critically assess some of the potential problems involved in the use of cointegration techniques in the calculation of minimum variance hedge ratios. Following Ghosh (1993a,b) there have been a number of papers which have made use of these techniques. Ghosh (1993), and Lien (1996) suggest that if spot and futures prices are cointegrated then the non-inclusion of an error correction term in the VAR model used to estimate the hedge ratio will lead to mis-specification problems and the under-estimation of the true optimal hedge ratio. We examine the use of such regression techniques in the calculation of hedge ratios.In particular we consider the extent to which the stacking of the data into a time series, which effectively constrains the estimated hedge ratio to a single value over the span of the data, influences the results of such techniques. If the hedge ratio differs by contract, the movement from one contract to the next is likely to lead to instability in the estimated regression coefficients. Tests for parameter instability in the estimated regression suggest that this is indeed the case and our conclusion is that it is preferable to consider the estimation of the hedge ratio in a panel setting with each individual contract considered as an observational unit. One problem in the past with such a move has been the lack of tests for cointegration and unit roots in such a setting, fortunately these are now available and we take advantage of them in this paper. In such a panel setting we find that the result that the spot and futures prices are cointegrated still holds but that the estimated hedge ratios are not constant between contracts, throwing doubt on the applicability of regression methods which make such an assumption.
Author : Ilias Visvikis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Hedging Effectiveness of the Athens Stock Exchange Futures Index Contracts written by Ilias Visvikis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the hedging effectiveness of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures contracts in the relatively new and fairly unresearched futures market of Greece. Both in-sample and out-of-sample hedging performances using weekly and daily data are examined, considering both constant and time-varying hedge ratios. Results indicate that time-varying hedging strategies provide incremental risk-reduction benefits in-sample, but under-perform simple constant hedging strategies out-of-sample. Moreover, futures contracts serve effectively their risk management role and compare favourably with results in other international stock index futures markets. Estimation of investor utility functions and corresponding optimal utility maximising hedge ratios yields similar results, in terms of model selection. For the FTSE/ATHEX Mid-40 contracts we identify the existence of speculative components, which lead to utility-maximising hedge ratios, that are different to the minimum variance hedge ratio solutions.
Author : Dimitris Kenourgios
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Kew-Chul Chee
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.0/5 ( download)
Download or read book On the Use of the Portfolio Theory to Hedge Optimally Using Futures written by Kew-Chul Chee and published by . This book was released on 1990 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Avraham Kamara
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.0/5 ( download)
Download or read book Optimal Hedging in Futures Markets with Multiple Delivery Specifications written by Avraham Kamara and published by . This book was released on 1986 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nathalie Senez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
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 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gang Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
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:
Author : Yi Ding
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (467 download)
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:
Author : Brajesh Kumar
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
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).
Author : Huijun Dai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (277 download)
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:
Author : Zhenmin Fang
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Impact of the Lengths of Estimation Periods and Hedging Horizons on Hedging Effectiveness written by Zhenmin Fang and published by . This book was released on 1993 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John K. Kuwornu
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Time-Varying Hedge Ratios written by John K. Kuwornu and published by . This book was released on 2005 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the classic agency model to derive a time-varying optimal hedge ratio for low-frequency time-series data: the type of data used by crop farmers when deciding about production and about their hedging strategy. Rooted in the classic agency framework, the proposed hedge ratio reflects the context of both the crop farmer's decision and the crop farmer's contractual relationships in the marketing channel. An empirical illustration for the Dutch ware potato sector and its futures market in Amsterdam over the period 1971 - 2003 reveals that the time-varying optimal hedge ratio decreased from 0.34 in 1971 to 0.24 in 2003. The hedging effectiveness, according to this ratio, is 39%. These estimates conform better with farmers' interest in using futures contracts for hedging purposes than the much higher estimates obtained when price risk minimisation is the only objective considered.
Author : Georgios A. Gkanas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (277 download)
Download or read book Futures written by Georgios A. Gkanas and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joaquín Arias Segura
Publisher : IICA
ISBN 13 : 9789290394730
Total Pages : 90 pages
Book Rating : 4.3/5 (947 download)
Download or read book Factores críticos para la cobertura de riesgos en transacciones bursátiles de productos agroalimentarios written by Joaquín Arias Segura and published by IICA. This book was released on 2000 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
