Hedging Effectiveness of the Athens Stock Exchange Futures Index Contracts PDF Download
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Author: Ilias Visvikis Publisher: 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.
Author: Ilias Visvikis Publisher: 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.
Author: Manolis G. Kavussanos Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper examines the hedging effectiveness of the FTSE/ATHES-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 minimal 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 favorably with results in order international stock index futures markets. Estimation of investor results, in terms of model selection. For the FTSE/ATHEX Mid-40 contracts we identify the existence of speculative components, which lead to utility maximizing hedge ratios, which are lower than minimum variance hedge rations.
Author: Darren Butterworth Publisher: 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.
Author: Darren Butterworth Publisher: ISBN: Category : Languages : en Pages :
Book Description
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.
Author: Ilias Visvikis
Author: Ilias Visvikis
Author: Manolis G. Kavussanos
Author: Darren Butterworth
Author: Darren Butterworth
Author: Sami Akkaoui
Author: Darren Butterworth
Author: George Kazakos
Author: Darren Butterworth
Author: Rocky Moore
Author: Laurence S. Copeland