https://scholars.lib.ntu.edu.tw/handle/123456789/104108
標題: | Hedging with Foreign-listed Single Stock Futures | 作者: | Hung, Mao-wei Lee, Cheng-few Leh-chyan |
關鍵字: | GJR-GARCH; Hedge ratios; Hedging; LIFFE; Single stock futures; SSFs; USFs | 公開日期: | 五月-2005 | 期: | 2 | 起(迄)頁: | 129-152 | 來源出版物: | Advances in Quantitative Analysis of Finance and Accounting | 摘要: | The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London International Financial Future and Options Exchange (LIFFE) are used in this research.We find that the data series have high estimated constant optimal hedge ratios and high constant correlation in the bivariate GJR-GARCH model, except for three SSFs with their underlying stocks traded in Italy. Our findings provide evidence that distance is a critical factor when explaining investor’s trading behavior. Results also show that in general, of the three methods examined (i.e., naïve hedge, conventional OLS method and dynamic hedging) the dynamic hedging performs the best and that naíve hedge is the worst. © 2005 by World Scientific Publishing Co. Pte. Ltd. and Cheng-Few Lee. © 2005 by World Scientific Publishing Co. Pte. Ltd. and Cheng-Few Lee. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/212717 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115695935&doi=10.1142%2f9789812701213_0008&partnerID=40&md5=0fdefc17b553c2f271c4aacd8d92fb57 |
顯示於: | 國際企業學系 |
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