Author: Man Kit Andy WongPublisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 108
Book Description
Evaluation of Hedging Effectiveness of Hong Kong and U.S. Stock Index Futures
Author: Man Kit Andy WongPublisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 108
Book Description
The Hedging Effectiveness Measures of the Hang Seng Index Futures Market in Hong Kong
Author: David Yee-kai ChanPublisher:
ISBN:
Category : Derivative securites
Languages : en
Pages : 21
Book Description
Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures
Author: Taufiq ChoudhryPublisher:
ISBN:
Category :
Languages : en
Pages : 23
Book Description
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.
Hedging effectiveness and stock index futures
Author: Rocky MoorePublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 0
Book Description
On the Effectiveness of the Hang Seng Index Futures Contracts in Hedging the Shanghai B-shares
Author: Jack S. K. ChangPublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 14
Book Description
Comparison of the Effectiveness of Hang Seng Index Futures and Hang Seng Index-linked Bond for Hedging the Risks of Stock Investment in the Hong Kong Stock Market
Author: Carol Ka Lok ChiuPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages :
Book Description
Hedge Ratio Estimation and Hedging Effectiveness of Stock Index Futures
Author: Panagiotis DrososHedge Ratio Estimation and Hedging Effectiveness in China's Index Futures Market
Author: Yi DingPublisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 74
Book Description
The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach
Author: Darren ButterworthPublisher:
ISBN:
Category :
Languages : en
Pages : 30
Book Description
This paper provides the first investigation of the hedging effectiveness of the FTSE 100 and FTSE Mid 250 stock index futures contracts using hedge ratios generated within an extended mean Gini framework. This framework provides a robust alternative to the standard minimum variance approach, by distinguishing between different classes of risk aversion and producing hedge ratios that are consistent with the rules of stochastic dominance. The results show that the appropriate hedge ratio varies considerably with the investor's degree of risk aversion and that the EMG approach is capable of being utilized by all classes of risk averse investors, in contrast to the standard minimum variance approach. In addition, the results show strong evidence of a duration effect and support the use of the extended mean Gini approach when cross hedges are involved.
Stock Index Futures
Author: Charles M.S. SutcliffePublisher: Routledge
ISBN: 1351148559
Category : Business & Economics
Languages : en
Pages : 534
Book Description
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.