Hedging effectiveness for international index futures markets
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 a...
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| Format: | Article |
| Language: | English |
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Riga Technical University Press
2018-07-01
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| Series: | Economics and Business |
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| Online Access: | https://doi.org/10.2478/eb-2018-0012 |
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| author | Koulis Alexandros Kaimakamis George Beneki Christina |
| author_facet | Koulis Alexandros Kaimakamis George Beneki Christina |
| author_sort | Koulis Alexandros |
| collection | DOAJ |
| description | 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 |
| format | Article |
| id | doaj-art-fb5ba8cb22bd456fba09679ab12e077b |
| institution | OA Journals |
| issn | 1407-7337 2256-0394 |
| language | English |
| publishDate | 2018-07-01 |
| publisher | Riga Technical University Press |
| record_format | Article |
| series | Economics and Business |
| spelling | doaj-art-fb5ba8cb22bd456fba09679ab12e077b2025-08-20T02:18:01ZengRiga Technical University PressEconomics and Business1407-73372256-03942018-07-0132114915910.2478/eb-2018-0012eb-2018-0012Hedging effectiveness for international index futures marketsKoulis Alexandros0Kaimakamis George1Beneki Christina2Department of Business Administration, Technological Institute of Ionian Islands,Atena,GreeceHellenic Army Academy,Atena, GreeceDepartment of Business Administration, Technological Institute of Ionian Islands,Atena,GreeceThis 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 countrieshttps://doi.org/10.2478/eb-2018-0012minimum variancehedge ratioeffectiveness |
| spellingShingle | Koulis Alexandros Kaimakamis George Beneki Christina Hedging effectiveness for international index futures markets Economics and Business minimum variance hedge ratio effectiveness |
| title | Hedging effectiveness for international index futures markets |
| title_full | Hedging effectiveness for international index futures markets |
| title_fullStr | Hedging effectiveness for international index futures markets |
| title_full_unstemmed | Hedging effectiveness for international index futures markets |
| title_short | Hedging effectiveness for international index futures markets |
| title_sort | hedging effectiveness for international index futures markets |
| topic | minimum variance hedge ratio effectiveness |
| url | https://doi.org/10.2478/eb-2018-0012 |
| work_keys_str_mv | AT koulisalexandros hedgingeffectivenessforinternationalindexfuturesmarkets AT kaimakamisgeorge hedgingeffectivenessforinternationalindexfuturesmarkets AT benekichristina hedgingeffectivenessforinternationalindexfuturesmarkets |