scholarly journals Hedging performance of multiscale hedge ratios

2019 ◽  
Vol 39 (12) ◽  
pp. 1613-1632 ◽  
Author(s):  
Jahangir Sultan ◽  
Antonios K. Alexandridis ◽  
Mohammad Hasan ◽  
Xuxi Guo
Keyword(s):  
Hedge Ratios ◽  
Hedging Performance

Risk Management with KOSDAQ50 Index Futures Markets

2003 ◽  
Vol 11 (2) ◽  
pp. 51-79
Author(s):  
Gyu Hyeon Mun ◽  
Jeong Hyo Hong
Keyword(s):  
Garch Model ◽  
Minimum Variance ◽  
Price Risk ◽  
Risk Minimization ◽  
Index Futures ◽  
Hedging Strategies ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Sample Data ◽  
Hedging Performance

This paper studies hedging strategies that use the KOSDAQ50 index futures to hedge the price risk of the KOSDAQ50 index spot portfolio. This study uses the minimum variance hedge model and bivariate ECT-GARCH (1,1) model as hedging models, and analyzes their hedging performances. The sample period covers from January 31, 2001 to December 31, 2002. The most important findings may be summarized as follows. First, both the risk-minimization and GARCH model exhibit hedge ratios that are substantially lower than one. Hedge ratios of the risk-minimization tend to be higher than those of GARCH model. Second, for the in-sample data, hedging effectiveness of GARCH model is higher than that of the risk-minimization, while for the out-of-sample data, hedging effectiveness of the risk-minimization with constant hedge ratios is not far behind the GARCH model in its hedging performance. Third, the hedging performance of KOSDAQ50 index futures is lower than that of KOSPI200 index futures, but higher than that of KTB futures. In conclusion, in the KOSDAQ50 index market, investors are encouraged to use the simple risk-minimization model to hedge the price risk of KOSDAQ50 spot portfolios.

scholarly journals Carry Cost Rate Regimes and Futures Hedge Ratio Variation

2019 ◽  
Vol 12 (2) ◽  
pp. 78 ◽  
Author(s):  
Dean Leistikow ◽  
Ren-Raw Chen
Keyword(s):  
Hedge Ratio ◽  
Bias Adjustment ◽  
Cost Rate ◽  
Ratio Variation ◽  
Hedge Ratios ◽  
Ex Ante ◽  
Hedging Performance

This paper tests whether the traditional futures hedge ratio (hT) and the carry cost rate futures hedge ratio (hc) vary in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) “hc” theory. It does so, both within and across high and low spot asset carry cost rate (c) regimes. The high and low c regimes are specified by asset across time and across currency denominations. The findings are consistent with the theory. Within and across c regimes, hT is inefficient and hc is biased. Across c regimes, hc’s Bias Adjustment Multiplier (BAM) does not vary significantly. Even though hc’s bias-adjusted variant’s BAM is restricted to old data that is from a different c regime, the hedging performance of hc and its bias-adjusted variant (=hc × BAM), are superior to that for hT. Variation in c may account for the hT variation noted in the literature and variation in c should be incorporated into ex ante hedge ratios.

Beta hedging: performance measures, momentum weighting and rebalancing effects

2019 ◽  
Author(s):  
Daniel Nadler ◽  
Anatoly B. Schmidt
Keyword(s):  
Performance Measures ◽  
Hedging Performance

Spot Asset Carry Cost Rates and Futures Hedge Ratios

2020 ◽  
Author(s):  
Dean Leistikow ◽  
Ren-Raw Chen ◽  
Yuewu Xu
Keyword(s):  
Hedge Ratios

Examining the Hedging Effectiveness of Futures Contracts over Pre and Post Financial Crisis Period: Evidence from National Stock Exchange of India

2015 ◽  
Vol 3 (2) ◽  
Author(s):  
Kapil Gupta ◽  
Mandeep Kaur
Keyword(s):  
Financial Crisis ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Price Risk ◽  
Hedge Ratio ◽  
Crisis Period ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Time Invariant

Present study examines the efficiency of futures contracts in hedging unwanted price risk over highly volatile period i.e. June 2000 - December 2007 and January 2008 – June 2014, pre and post-financial crisis period, by using S&PC NXNIFTY, CNXIT and BANKNIFTY for near month futures contracts. The hedge ratios have been estimated by using five methods namely Ederingtons Model, ARMA-OLS, GARCH (p,q), EGARCH (p,q) and TGARCH (p,q). The study finds that hedging effectiveness increased during post crisis period for S&PC NXNIFTY and BANKNIFTY. However, for CNXIT hedging effectiveness was better during pre-crisis period than post crisis. The study also finds that time-invariant hedge ratio is more efficient than time-variant hedge ratio.

scholarly journals Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market

2021 ◽  
Author(s):  
Goknur Buyukkara ◽  
C. Coskun Kucukozmen ◽  
E. Tolga Uysal
Keyword(s):  
Futures Market ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Optimal Hedge

scholarly journals Reevaluating hedging performance

2006 ◽  
Vol 26 (7) ◽  
pp. 677-702 ◽  
Author(s):  
John Cotter ◽  
Jim Hanly
Keyword(s):  
Hedging Performance

scholarly journals Forecasting the daily dynamic hedge ratios in emerging European stock futures markets: evidence from GARCH models

2019 ◽  
Vol 10 (1) ◽  
pp. 67 ◽  
Author(s):  
Taufiq Choudhry ◽  
Mohammad Hasan ◽  
Yuanyuan Zhang
Keyword(s):  
Futures Markets ◽  
Garch Models ◽  
Hedge Ratios

Time-varying distributions and the optimal hedge ratios for stock index futures

1995 ◽  
Vol 5 (3) ◽  
pp. 131-137 ◽  
Author(s):  
Tae H. Park ◽  
Lorne N. Switzer
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Time Varying ◽  
Index Futures ◽  
Hedge Ratios ◽  
Optimal Hedge
Sign in / Sign up

Export Citation Format

Share Document