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The hedging effectiveness of single ...

Concordia University (Canada).

The hedging effectiveness of single stock futures: A study using constant and time-varying hedge ratios under GARCH modeling (England).

紀錄類型:	書目-電子資源 : 單行本
正題名/作者:	The hedging effectiveness of single stock futures: A study using constant and time-varying hedge ratios under GARCH modeling (England)./
作者:	Senez, Nathalie.
面頁冊數:	94 p.
附註:	Source: Masters Abstracts International, Volume: 44-03, page: 1194.
Contained By:	Masters Abstracts International44-03.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MR10335
ISBN:	9780494103357

The hedging effectiveness of single stock futures: A study using constant and time-varying hedge ratios under GARCH modeling (England).
Senez, Nathalie.

The hedging effectiveness of single stock futures: A study using constant and time-varying hedge ratios under GARCH modeling (England). - 94 p.

Source: Masters Abstracts International, Volume: 44-03, page: 1194.

Thesis (M.Sc.)--Concordia University (Canada), 2005.

This study investigates the hedging effectiveness of Universal Stock Futures trading in London at protecting the underlying spot position from variations in portfolio returns using four different hedge ratios. The hedge ratios under analysis are: the naive 1:1 hedge ratio, the risk-minimizing hedge ratio, a modified version of the risk-minimizing hedge ratio and a time-varying hedge ratio under a GARCH (1,1) process which is allowed to change on a daily basis. The aim of the research is to examine which hedge ratio provides the best protection from market fluctuations when hedging a stock spot position with its futures contract. The findings suggest that the time-varying hedge ratio provides a better hedging strategy than the other techniques although some companies exhibited a smaller portfolio variance when protected with a constant hedge ratio.

ISBN: 9780494103357Subjects--Topical Terms:

1000005765
Economics, Finance.

The hedging effectiveness of single stock futures: A study using constant and time-varying hedge ratios under GARCH modeling (England).
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