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Hedging effectiveness comparisons: A note
International Review of Economics & Finance, 2008Abstract This note examines the hedging effectiveness of three hedge strategies on twenty-four commodity and financial markets. Lien (Lien, D., 2005a, The use and abuse of the hedging effectiveness measure, International Review of Financial Analysis 14, 277–282, Lien, D., 2005b, A note on the superiority of the OLS hedge ratio, Journal of Futures ...
Donald Lien, Keshab Shrestha
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Hedging effectiveness of REIT futures
Journal of Property Investment & Finance, 2012PurposeThe hedging effectiveness of real estate investment trust (REIT) futures as a critical issue in response to the global REIT market has been extremely volatile in recent years, however few studies have been placed on this area. This study aims to fill in this gap and examine the hedging effectiveness of Australian and Japanese REIT futures over ...
Lee, Chyi Lin (R12396), Lee, Minglong
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Measuring the hedging effectiveness of commodities
Finance Research Letters, 2019Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of adding commodities to international equity portfolios. The data covers the 2014/2015 commodities price crash.
Pornchai Chunhachinda +2 more
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A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
Insurance: Mathematics and Economics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Matthias Börger +2 more
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North American Actuarial Journal, 2011 Abstract Basis risk is an important consideration when hedging longevity risk with instruments based on longevity indices, since the longevity experience of the hedged exposure may differ from that of the index. As a result, any decision to execute an index-based hedge requires a framework for (1) developing an informed understanding of the basis risk,
Coughlan, Guy +6 more
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Effectiveness of Minimum-Variance Hedging
The Journal of Portfolio Management, 2007Advanced electronic trading platforms and index exchange-traded funds (ETFs) have an impact on the minimum-variance hedging of stock indexes with futures. Minimum-variance hedging may provide better out-of-sample hedging performance than a naiuve futures hedge, but only in markets without active trading of ETFs or advanced electronic communications ...
Carol Alexander, Andreza Barbosa
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Resources policy, 2019
In this paper, we examine the hedging performance of two emerging markets equities indices represented by Morgan Stanley Capital International (MSCI) - Emerging Market (EM) and MSCI-BRIC (Brazil, Russia, India, and China) with the two globally traded ...
J. Singh, W. Ahmad, Anil V. Mishra
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In this paper, we examine the hedging performance of two emerging markets equities indices represented by Morgan Stanley Capital International (MSCI) - Emerging Market (EM) and MSCI-BRIC (Brazil, Russia, India, and China) with the two globally traded ...
J. Singh, W. Ahmad, Anil V. Mishra
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Improvement of Hedging Effect Based on the Average Hedging Ratio
2018This paper is aimed at exploring the improvement of hedging effect based on the theory of portfolio hedging, with multiple groups of CSI300 stock index futures and spot sample data as the analysis object. The minimum variance method is employed to estimate the optimal hedging ratio under the OLS and GARCH hedging models and calculate the average of the
Yang Liu, Chuan-he Shen
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HEDGING EFFECTIVENESS OF CROSS-LISTED NIFTY INDEX FUTURES
Global Economy Journal, 2019This paper investigates the hedging effectiveness of cross-listed Nifty Index futures and compares the performance of constant and dynamic optimal hedging strategies. We use daily data of Nifty index traded on the National Stock Exchange (NSE), India and
K. K. Kumar, S. Bose
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Hedging Effectiveness of Fertilizer Swaps
2017One potential tool fertilizer dealers and producers have to protect themselves against fertilizer price risk is the fertilizer swaps market. Swaps usually settle using a floating variable price that is determined by an index of cash prices. This paper calculates hedge ratios and hedging effectiveness of urea and DAP (diammonium phosphate) swaps that ...
Maples, William E. +3 more
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