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:

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:

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.

Download or read book Time Varying Distribution and Hedging Effectiveness of Three Pacific Basin Stock Futures written by Taufiq Choudhry and published by . This book was released on 2001 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hedging effectiveness of Australian, Hong Kong and Japanese stock futures markets. For each market two sets of futures indices are used in the empirical tests. Effectiveness of four different hedging ratios depending on different estimation procedures are investigated. The unhedged, the traditional hedge and the minimum variance hedge ratios are all constant while the bivariate GARCH hedge ratio is time-varying. The effectiveness of the hedge ratio are compared by investigating the out-of-sample performance of the four ratios. The whole sample consist of daily returns from January 1990 to December 1998. Two out-of-sample periods are used January1997 to December 1998 (two years) and from January 1998 to December 1998 (one year). Results show that the time-varying GARCH hedge ratio out-performs the constant ratios in most of the cases but not all. This is true using both out-of-sample periodsKeyWords: Hedge Ratio, Bivariate GARCH, Cash Index, Futures Index, Variance.

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:

Download or read book Dynamic Hedging Performance of the CSI 300 Index Futures The Realized Minimum Variance Hedge Ratio Approach written by Hui Qu and published by . This book was released on 2018 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper comprehensively investigates the dynamic hedging performance of China's CSI 300 index futures by using the realized minimum-variance hedge ratio (RMVHR) as an efficient way to utilize the high-frequency intraday information. We thoroughly examine a number of RMVHR-based time-series models for CSI 300 index futures, and evaluate the out-of-sample dynamic hedging performance in comparison to the conventional hedging models using daily prices, as well as the vector heterogeneous autoregressive model using five-minute prices. Our results show that the dynamic hedging performance of the RMVHR-based methods robustly dominates that of the conventional methods in terms of major performance measures including the hedge ratio, the hedging effectiveness, the portfolio return and the Sharp ratio in the out-of-sample forecast period. Furthermore, the superiority of the RMVHR-based methods is consistent during different volatility regimes of China's financial markets, including China's abnormal market fluctuations in 2015.

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).

Download or read book Estimation of Constant and Time Varying Hedge Ratios for Indian Stock Index Futures Market written by P. Srinivasan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hedging effectiveness of the S&P CNX Nifty index futures by employing four competing models, viz., the simple Ordinary Least Squares (OLS) method, the Bivariate Vector Autoregressive (BVAR) model, the Vector Error Correction Model (VECM), and the multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) with error correction model. The hedge performances obtained from the different econometric models for the in-sample and out-of-sample periods are compared in terms of variance minimization criterion.

Download or read book Hedging with Stock Index Futures written by Stephen Figlewski and published by . This book was released on 1983 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book Stock Index Futures Hedging written by Phil Holmes and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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 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.

Download or read book Optimal Hedging Strategy in Stock Index Futures Markets written by Weijun Xu and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we search for optimal hedging strategy in stock index futures markets. We concentrate on the strategy that minimizes the portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. They are linear regression models that assume time-invariant volatility; GARCH-type models that assume time-varying volatility, Markov regime switching (MRS) regression models that assume state-varying volatility, and MRS GARCH models that assume both time-varying and state-varying volatility. We use both maximum likelihood estimation (MLE) and Bayesian Gibbs-sampling approach to estimate the models in four commonly used index futures contracts: Samp;P 500, FTSE 100, Nikkei 225 and Hang Seng index. We apply risk reduction and utility maximization criterions to evaluate hedging performance of MVHRs estimated from these models. The in-sample results show that the optimal hedging strategy for the Samp;P 500 and the Hang Seng index futures contracts is the MVHR estimated using the MRS-OLS model, while the optimal hedging strategy for the Nikkei 225 and the FTSE 100 futures contracts is the MVHR estimated using the asymmetric-Diagonal-BEKK-GARCH and the asymmetric-DCC-GARCH model, respectively. As in the out-of-sample investigation, the optimal strategy for the Samp;P 500 index futures remains unchanged while the optimal strategy for other futures contracts is different from the in-sample results. The MVHR estimated from the MRS-VECM model perform the best for the Nikkei 225 futures contract. The scalar-BEEK-GARCH model delivers the optimal strategy for both the FTSE 100 and the Hang Seng index futures contracts. Overall the evidence suggests that there is no single model that can consistently produce the best strategy across different index futures contracts. Using a more sophisticated model such as MRS-MGARCH model does not necessarily improve hedging efficiency. However, there is evidence that using Bayesian Gibbs-sampling approach to estimate the MRS models provides investors more efficient hedging strategy compared with the MLE method.

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:

Download or read book Hedge Ratio and Correlation between the Stock and the Futures Markets written by Sangbae Kim and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between the stock and the futures return over the various time horizons. In contrast to previous studies, wavelet analysis allows us to decompose the data into various time scales. Using this technique, we find that in the short- and long-run, there is a feedback relationship, while in the intermediate-run, the futures market leads the stock market. The correlation between the two markets varies over time but remains very high. Furthermore, the magnitude of the correlation increases as the time scale increases, indicating that the stock market and the futures market of the All Ordinaries Index are found to be not fundamentally different. The hedge ratio increases as the time scale increases. In other words, the effectiveness of the hedging strategies initially increases with the hedging horizon.