Author: Rocky MoorePublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 0
Book Description
Hedging effectiveness and stock index futures
Author: Rocky MoorePublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 0
Book Description
Hedge Ratio Estimation and Hedging Effectiveness of Stock Index Futures
Author: Panagiotis DrososHedging Effectiveness of Stock Index Futures
Author: Kanuengnuch Sae-AuHedging Effectiveness and Pricing of Stock Index Futures in the Presence of Index Participation Units
Author: Sami AkkaouiEvaluation 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
Hedge Ratio Estimation and Hedging Effectiveness
Author: Dimitris KenourgiosPublisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
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.
Hedging Effectiveness of Stock Index Futures
Author: George KazakosThe 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.
An Investigation Into 1) the Efficiency of the Market with Respect to the Pricing of Stock Index Options & Futures, and 2) the Relative Hedging Effectiveness of Stock Index Futures and Options in Optimizing the Risk-return Performance of Equity Based Portfolios, the Crucial Question Being
Author: Jeffery KrepsPublisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 354
Book Description
Hedging Effectiveness of the Athens Stock Exchange Futures Index Contracts
Author: Ilias VisvikisPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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.