Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/stock-index-futures-hedging-hedge-ratio-estimation-duration-effects-MlG4sFHDrJ
References (15)
-
M. Lindahl (1992)
Minimum variance hedge ratios for stock index futures: Duration and expiration effectsJournal of Futures Markets, 12
-
Stephen Cecchetti, R. Cumby, Stephen Figlewski (1988)
Estimation of the Optimal Futures HedgeThe Review of Economics and Statistics, 70
-
L. Johnson (1960)
The Theory of Hedging and Speculation in Commodity FuturesThe Review of Economic Studies, 27
-
A. Ghosh (1993)
Hedging with Stock Index Features: Estimating and Forecasting with Error Correction Model, 13
-
Malliaris Malliaris, Urrutia Urrutia (1991)
Tests of Random Walk of Hedge Ratios and Measures of Hedging Effectiveness for Stock Indexes and Foreign CurrenciesJournal of Futures Markets, 11
-
T. Bollerslev, R. Chou, Kenneth Kroner (1992)
ARCH modeling in finance: A review of the theory and empirical evidenceJournal of Econometrics, 52
-
J. Junkus, Cheng-Few Lee (1985)
Use of three stock index futures in hedging decisionsJournal of Futures Markets, 5
-
E. Fama (1965)
The Behavior of Stock-Market PricesThe Journal of Business, 38
-
Yadav Yadav, Pope Pope (1990)
Stock Index Futures Pricing: International EvidenceJournal of Futures Markets, 10
-
B. Mandelbrot (1963)
The Variation of Certain Speculative PricesThe Journal of Business, 36
-
P. Yadav, P. Pope (1990)
Stock index futures arbitrage: International evidenceJournal of Futures Markets, 10
-
Stephen Figlewski (1984)
Hedging Performance and Basis Risk in Stock Index FuturesJournal of Finance, 39
-
Peters Peters (1986)
Hedged Equity Portfolios: Components of Risk and ReturnAdvances in Futures and Options Research, IB
-
Working Working (1953)
Futures Trading and HedgingAmerican Economic Review, 63
-
Stephen Figlewski (1985)
Hedging with stock index futures: Theory and application in a new marketJournal of Futures Markets, 5
- Publisher
- Wiley
- Copyright
- Copyright © 1996 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0306-686X
- eISSN
- 1468-5957
- DOI
- 10.1111/j.1468-5957.1996.tb00402.x
- Publisher site
- See Article on Publisher Site
Abstract
This paper examines hedging effectiveness for the FTSE‐100 Stock Index futures contract from 1984 to 1992. It investigates the appropriate econometric technique to use in estimating minimum variance hedge ratios by undertaking estimations using OLS, an ECM and GARCH. Simple OLS outperforms more complex econometric techniques. Additionally, the paper examines the impact ofhedge duration and time to expiration on estimated hedge ratios and hedge ratio stability over time. It is shown that hedge ratios and hedging effectiveness increase with hedge duration, hedge ratios approach unity as expiration approaches and while hedge ratios vary over time they are stationary.
Journal
Journal of Business Finance & Accounting – Wiley
Published: Jan 1, 1996