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 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

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.

Time-varying hedge ratios for non-ferrous metals prices

2005 ◽  
Vol 30 (3) ◽  
pp. 186-193 ◽  
Author(s):  
David G McMillan
Keyword(s):  
Time Varying ◽  
Ferrous Metals ◽  
Hedge Ratios ◽  
Non Ferrous Metals

scholarly journals Hedge Ratios in South African Stock Index Futures

2010 ◽  
Vol 9 (3) ◽  
pp. 285-304 ◽  
Author(s):  
Stavros Degiannakis ◽  
Christos Floros
Keyword(s):  
South African ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Hedge Ratios

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

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