haku: @all futures / yhteensä: 1003
viite: 16 / 1003
| Tekijä: | Kavussanos, M.G. Visvikis, I.D. |
| Otsikko: | Hedging effectiveness of the Athens stock index futures contracts |
| Lehti: | European Journal of Finance
2008 : APR/JUN, VOL. 14:3-4, p. 243-270 |
| Asiasana: | stock index options futures markets hedging effectiveness utility functions Greece |
| Kieli: | eng |
| Tiivistelmä: | This paper studies the hedging (hereafter as: hdg.) effectiveness of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures contracts in the futures market of Greece. Examined are both in-sample (here as: i-s.) and out-of-sample (as: o-s.) hdg. performances using weekly and daily data, taking into account of both constant and time-varying (here as: t-vg.) hedge ratios. Results indicate that t-vg. hdg. strategies provide incremental risk-reduction benefits i-s., but under-perform simple constant hedging strategies o-s. Moreover, futures contracts serve effectively their risk management role, comparing favourably with results in other international stock index futures markets. For the FTSE/ATHEX Mid-40 contracts, identified is the existence of speculative components leading to utility-maximizing hedge ratios different to the minimum variance hedge ratio solutions. |
SCIMA