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Hedging effectiveness under conditions of asymmetry [PDF]
SSRN Electronic Journal, 2011 We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts.
John Cotter, Jim Hanly
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Effectiveness of Dynamic Hedging Using Options on the WIG20 in Current Market Conditions [PDF]
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2020 Based on previous research on the deviations of the prices of options on the WIG20 from the arbitrage restrictions and features, it was found that the number and scale of these deviations clearly decreased, thus improving the quality of the arbitrage ...
Ryszard Węgrzyn
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Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory [PDF]
Discrete Dynamics in Nature and Society, 2013 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 ...
Kai Chang
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Hedging effectiveness for international index futures markets [PDF]
Economics and Business, 2018 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.
Koulis Alexandros +2 more
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Should South Asian Stock Market Investors Think Globally? Investigating Safe Haven Properties and Hedging Effectiveness [PDF]
EconomiesIn this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan ...
Md. Abu Issa Gazi +7 more
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IIMB Management Review, 2014 The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model.
Dilip Kumar
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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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Changes in Effectiveness of Delta Hedging Using Options on the WIG20
Problemy Zarządzania, 2021 Purpose: Based on the research carried out by the author in 2007 and 2015, an increase in the effectiveness of delta hedging with the use of options on the WIG20 was found.
Ryszard Węgrzyn
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Commodities, 2023 This study aims at examining whether hedging emerging Eastern Europe stock markets with commodities sectors can help in reducing market risks and whether it has the same effectiveness among different sectors.
Amel Melki, Ahmed Ghorbel
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Time-Varying Structure of the Optimal Hedge Ratio for Emerging Markets
Scientific Annals of Economics and Business, 2022 Emerging markets are more exposed to risk than developed markets. Therefore, they require risk management using futures market instruments. This study aims to determine the hedging effectiveness of the spot index market risks in the stock index futures ...
Metin Tetik, Ercan Özen
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