Download or read book Hedging Effectiveness in the Index Futures Market written by Laurence S. Copeland and published by . This book was released on 2006 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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.
Download or read book Futures Markets as Hedging Markets and the Relative Effects of Speculation on Hedging Effectiveness written by Thomas O. Meyer and published by . This book was released on 1990 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Hedging Effectiveness and Pricing of Stock Index Futures in the Presence of Index Participation Units written by Sami Akkaoui 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 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 The Hedging Effectiveness Measures of the Hang Seng Index Futures Market in Hong Kong written by David Yee-kai Chan and published by . This book was released on 1996 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Hedging effectiveness and stock index futures written by Rocky Moore and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Analysis Into the Hedging Effectiveness and Efficiency of the Share Index Futures Market in South Africa written by Peter Aston Levett and published by . This book was released on 1992* with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 1274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Hedging Effectiveness of Share Price Index Futures written by Christopher Short and published by . This book was released on 1984 with total page 168 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 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 Hedging Effectiveness of Stock Index Futures written by Kanuengnuch Sae-Au and published by . This book was released on 2011 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Hedging Effectiveness of the U S Dollar Index Futures Contract written by Merlyn Siow Moi Foo and published by . This book was released on 1997 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rate Futures Markets and Capital Market Theory written by Klaus Kobold and published by Walter de Gruyter. This book was released on 2011-07-22 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt: Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.