Hung, Mao-weiMao-weiHungLee, Cheng-fewCheng-fewLeeLeh-chyan2010-10-082018-06-292010-10-082018-06-292005-05http://ntur.lib.ntu.edu.tw//handle/246246/212717https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115695935&doi=10.1142%2f9789812701213_0008&partnerID=40&md5=0fdefc17b553c2f271c4aacd8d92fb57The 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.en-USGJR-GARCH; Hedge ratios; Hedging; LIFFE; Single stock futures; SSFs; USFsjournal article2-s2.0-85115695935