Speculative Market Efficiency and Hedging Effectiveness of Emerging Chinese Index Futures Market

2011 ◽  
Vol 16 (4) ◽  
pp. 252-269 ◽  
Author(s):  
Xiaoqian Wen ◽  
Yu Wei ◽  
Dengshi Huang
Keyword(s):  
Market Efficiency ◽  
Futures Market ◽  
Index Futures ◽  
Hedging Effectiveness

scholarly journals Efektivitas Strategi Hedging Menggunakan Kontrak Indeks Lq45 Futures dalam Meminimalisasi Risiko Sistematis Portofolio

2018 ◽  
Vol 2 (2) ◽  
pp. 100
Author(s):  
NADIA ASANDIMITRA HARYONO ◽  
M. RIADHOS SOLICHIN
Keyword(s):  
Systematic Risk ◽  
Spot Market ◽  
Futures Market ◽  
Hedging Strategy ◽  
Index Futures ◽  
Futures Contract ◽  
Hedging Effectiveness ◽  
Variance Calculation ◽  
Research Period ◽  
Portfolio Return

AbstractInvestor can make hedging to the systematic risk or market risk by using LQ45 index futures contract whose value comparable to the share portfolio value they have. This research had the purpose to prove used the LQ45 index futures contract in minimize the portfolio systematic risk. In this research used LQ45 index as the proxy on the portfolio have been properly diversified. Data used in this research were LQ45 index daily value data and the daily closing price of LQ45 index futures with 2004-2005 research period. Testing was conducted by comparing the portfolio return hedged variance to the portfolio return unhedged variance. Calculation of hedging effectiveness used LQ45 index futures contract as much as -9%, negative hedging effectiveness calculation due to the portfolio return hedged variance larger than portfolio return unhedged variance or, in the other words the risk in the futures market was larger than the risk in the spot market. Thus, the LQ45 index futures contract was ineffective to use as the hedging strategy in minimize the portfolio systematic risk

Estimating Optimal Hedge Ratio and Hedging Effectiveness in the NSE Index Futures

2017 ◽  
Vol 6 (2) ◽  
pp. 108-131 ◽  
Author(s):  
Gurmeet Singh
Keyword(s):  
Stock Exchange ◽  
Futures Market ◽  
Minimum Variance ◽  
Econometric Models ◽  
Sample Period ◽  
Hedge Ratio ◽  
Index Futures ◽  
Hedging Effectiveness ◽  
Egarch Model ◽  
Optimal Hedge

This study attempts to study and suggest an optimal hedge ratio to Indian investors and traders by examining the three main indices of National Stock Exchange of India (NSE), namely, NIFTY, Bank NIFTY, and IT NIFTY, over the sample period from January 2011 to December 2015. The present study estimated the hedge ratio through six econometric models, namely, OLS, GARCH, EGARCH, TARCH, VAR, and VECM, in the minimum variance hedge ratio framework as suggested by Ederington (1979). The findings of the present study confirm the theoretical properties of Indian cash and futures market and suggest that the optimal hedge ratio estimated through EGARCH model was lowest for the NIFTY and Bank NIFTY, and that for IT NIFTY, the OLS model shows the lowest optimal hedge ratio as compared to that estimated through other models.

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