scholarly journals M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets

2001 ◽  
Author(s):  
Wenling Joey Yang
Keyword(s):  
Futures Markets ◽  
Hedging Effectiveness ◽  
Hedge Ratios

scholarly journals Hedging effectiveness for international index futures markets

2018 ◽  
Vol 32 (1) ◽  
pp. 149-159
Author(s):  
Alexandros Koulis ◽  
George Kaimakamis ◽  
Christina Beneki
Keyword(s):  
Futures Markets ◽  
Futures Contracts ◽  
Index Futures ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
The Usa ◽  
Conventional Models ◽  
Market Indexes

Abstract This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model are employed to estimate corresponding hedge ratios that can be employed in risk management. The analyzed sample consists of daily closing market rates of the stock market indexes of the USA and the European futures contracts. The findings indicate that the time varying hedge ratios, if estimated through the ARDL model, are more efficient than the fixed hedge ratios in terms of minimizing the risk. Additionally, there is evidence that the comparative advantage of advanced econometric approaches compared to conventional models is enhanced further for capital markets within peripheral EU countries

Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

2005 ◽  
Vol 45 (2) ◽  
pp. 301-321 ◽  
Author(s):  
Wenling Yang ◽  
David E. Allen
Keyword(s):  
Futures Markets ◽  
Multivariate Garch ◽  
Hedging Effectiveness ◽  
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 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

scholarly journals Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory

2013 ◽  
Vol 2013 ◽  
pp. 1-8 ◽  
Author(s):  
Kai Chang
Keyword(s):  
Futures Market ◽  
Time Varying ◽  
Conditional Volatility ◽  
Conditional Correlation ◽  
Spot Prices ◽  
Market Participants ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Cost Of Carry ◽  
The Cost

Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market have significant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging effectiveness estimation using ECM-GARCH model. Our empirical results show that conditional variance, conditional covariance, and their correlation between between spot and futures prices exhibit time-varying trends. Conditional volatility of spot prices, conditional volatility disturbed from futures market, and conditional correlation of market noises implied from spot and futures markets have significant effects on time-varying hedge ratios and hedging effectiveness. In the immature emissions allowances market, market participants optimize portfolio sizes between spot and futures assets using historical market information and then achieve higher risk reduction of assets portfolio revenues; accordingly, we can obtain better hedging effectiveness through time-varying hedge ratios with departures from the cost-of-carry theory.

scholarly journals HOW EFFECTIVE IS FUTURES AS AN INSTRUMENT OF HEDGING AGAINST PRICE RISK? -A STUDY BASED ON SPOT AND FUTURE PRICES OF GOLD

2016 ◽  
Vol 4 (9) ◽  
pp. 143-150
Author(s):  
Shafeeque Muhammad ◽  
Thomachan
Keyword(s):  
Spot Market ◽  
Futures Market ◽  
Price Risk ◽  
Time Varying ◽  
Risk Hedging ◽  
Hedging Effectiveness ◽  
Cash Market ◽  
Hedge Ratios ◽  
Opposite Position

This paper examines the role of commodity futures market as an instrument of hedging against price risk. Hedging is the practice of offsetting the price risk in a cash market by taking an opposite position in the futures market. By taking a position in the futures market, which is opposite to the position held in the spot market, the producer can offset the losses in the latter with the gains in the former. Both static and time varying hedge ratios have been calculated using VECM-MGARCH model. Variance of return from hedge portfolio has been found to be low. Further hedging effectiveness has been observed to be around 12%.

One-Factor and Two-Factor Dynamic Hedging of Futures Contracts with Different Maturities for Emissions Allowances

2013 ◽  
Vol 380-384 ◽  
pp. 4529-4536
Author(s):  
Chang Kai ◽  
Zhen Yu
Keyword(s):  
Risk Reduction ◽  
Market Price ◽  
Futures Contracts ◽  
Effectiveness Evaluation ◽  
Time Varying ◽  
Slight Effect ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Hedging Policy ◽  
Speed Change

Unexpected market information have a different speed change to market price of futures contracts with different maturities, and the paper estimates one-factor and two-factor dynamics hedge ratios and hedging effectiveness evaluation. One-factor and two-factor hedge ratios of futures contracts with different maturities for emissions allowances have time-varying trends. Compared with one-factor hedging, with an increase of span period, market participations can achieve a slight effect on risk reduction of portfolio revenues of futures contracts with different maturities by using two-factor hedge ratios, and especially two-factor hedging policy exhibits better hedging effectiveness for longer-term span period of futures contracts with different maturities for emissions allowances.

The Level and Volatility of Interest Rates and the Hedging Effectiveness of Financial Futures Markets

1982 ◽  
Vol 17 (2) ◽  
pp. 69-69
Author(s):  
Shantaram P. Hegde ◽  
Ken Nunn
Keyword(s):  
Interest Rates ◽  
Futures Markets ◽  
Hedging Effectiveness ◽  
Financial Futures Markets
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