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 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 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 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 Cost of Carry and the Optimal Hedge in Futures Market written by Deng-Ta Chen and published by . This book was released on 2018 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: English Abstract: We employ a new method for hedge in futures market. The new method brings futures' hedge from statistical games back to its original financial nature of derivatives pricing. Thus the estimation of hedge ratio is simplified, and the continuous futures contract is not needed. We carry on an empirical study on gold futures, index futures, British pound GBP futures, and crude oil futures. We find that: If we estimate the hedge ratio using traditional methods, where futures are not treated as financial derivatives, naïve hedge outperforms complex models. If the futures pricing theory is taking account when hedging, computing hedge ratio by way of forecasting cost of carry, the hedge effectiveness is higher than naïve hedge. Furthermore, naïve hedge prefers contracts whose delivery dates are nearby. However, the hedge effectiveness of the new method is not affected by the delivery dates. Thus, the research focus on hedging ratios should shift from the statistical relationship between futures and spot prices to the forecast of cost of carry.

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 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 Ex Ante Hedging Effectiveness of UK Stock Index Futures Contracts written by Darren Butterworth and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Ex ante hedging effectiveness of the FTSE 100 and FTSE Mid 250 index futures contracts is examined for a range of portfolios, consisting of stock market indexes and professionally managed portfolios (investment trust companies). Previous studies which focused on ex post hedging performance using spot portfolios that mirror market indexes are shown to overstate the risk reduction potential of index futures. Although ex ante hedge ratios are found to be characterised by intertemporal instability, ex ante hedging performance of direct hedges and cross hedges approaches that of the ex post benchmark when hedge ratios are estimated using a sufficient window size.