Results 181 to 190 of about 41,672 (247)

Hedging Effectiveness of VIX Futures

SSRN Electronic Journal, 2009
The introduction of VIX futures and options has been a major financial innovation that will facilitate to a great extent the hedging of volatility risk. Using VIX futures, S&P 500 futures, S&P 500 options and S&P 500 futures options, this study examines alternative models within a delta-vega neutral strategy. VIX futures are found to outperform vanilla
Anchor Y. Lin, Yueh-Neng Lin
openaire   +2 more sources

Hedge Effectiveness Testing as a Screening Mechanism for Hedge Accounting

Journal of Accounting, Auditing & Finance, 2014
Accounting for financial instruments has been subject to much controversy, particularly accounting practices related to derivatives held for hedging purposes. For cash flow hedges, poor matching may result when fair-value accounting is prescribed for the hedging instrument and historical cost is prescribed for the assets that generate the “highly ...
Dennis Frestad, Leif Atle Beisland
openaire   +1 more source

The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets

, 2020
Against the failure of precious metals, particularly gold, in hedging oil market risks, this study attempts to determine if industrial metals would prove otherwise.
O. Adekoya, J. Oliyide
semanticscholar   +1 more source

Measuring quantile risk hedging effectiveness: a GO-GARCH-EVT-copula approach

Applied Economics, 2020
In this study, we propose a new GO-GARCH-EVT-copula combined approach to estimate minimum quantile risk hedge ratios. We examine the hedging effectiveness of the proposed model in comparison with three other competing models.
M. Karmakar, Udayan Sharma
semanticscholar   +1 more source

The hedging effectiveness of global sectors in emerging and developed stock markets

, 2020
This paper investigates whether global sectors could act as effective hedges for emerging and developed market equities. By comparing the hedging performance of the Global Energy, Financials, Industrials, and Technologies ETFs, we find that the Global ...
Jiayu Jin, Liyan Han, Lei Wu, Hongchao Zeng   +3 more
semanticscholar   +1 more source

Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises

Research In International Business and Finance, 2020
This paper aims to analyze the mean and volatility spillovers between oil prices and the Eurozone supersector returns. It uses daily data of the Brent prices and 19 Eurozone supersector indices for the period from August 2004 to August 2015.
Olfa Belhassine
semanticscholar   +1 more source

STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY

Journal of Business Finance & Accounting, 1996
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.
openaire   +1 more source

Natural gas price, market fundamentals and hedging effectiveness

, 2020
How to effectively manage risk is an important issue that the financial and commodity industries face. One of the issues is the estimation of the financial and consumption asset price volatility and estimation of the optimal hedge ratio.
Song-Zan Chiou-Wei, Sheng-Hung Chen, Zhenyan Zhu   +2 more
semanticscholar   +1 more source

Auditors' Assessment of Hedge Effectiveness

International Journal of Auditing, 2001
There is very little authoritative guidance and very little is known about how auditors assess the effectiveness of derivative hedges. This study investigates the approaches undertaken by auditors in the absence of such guidance. Descriptive evidence on firm procedures was collected in 1997 from the technical offices of each of the then Big 6 audit ...
Gerlinde Gniewosz, Neil Fargher, Roger Simnett   +2 more
openaire   +1 more source

Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks

Journal of international financial markets, institutions, and money, 2019
This paper examines the dynamic risk spillovers and hedging effectiveness between two important commodity markets (oil and gold) and both the Islamic and conventional bank stock indices for five GCC countries (Bahrain, Kuwait, Qatar, Saudi Arabia and UAE)
Walid Mensi, S. Hammoudeh, I. Al-Jarrah, K. Al-Yahyaee, S. Kang   +4 more
semanticscholar   +1 more source