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- W128464215 abstract "This study investigates the hedging effectiveness of Universal Stock Futures trading in London at protecting the underlying spot position from variations in portfolio returns using four different hedge ratios. The hedge ratios under analysis are: the naive 1:1 hedge ratio, the risk-minimizing hedge ratio, a modified version of the risk-minimizing hedge ratio and a time-varying hedge ratio under a GARCH (1,1) process which is allowed to change on a daily basis. The aim of the research is to examine which hedge ratio provides the best protection from market fluctuations when hedging a stock spot position with its futures contract. The findings suggest that the time-varying hedge ratio provides a better hedging strategy than the other techniques although some companies exhibited a smaller portfolio variance when protected with a constant hedge ratio." @default.
- W128464215 created "2016-06-24" @default.
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- W128464215 date "2005-01-01" @default.
- W128464215 modified "2023-09-27" @default.
- W128464215 title "The hedging effectiveness of single stock futures : a study using constant and time-varying hedge ratios under GARCH modeling" @default.
- W128464215 hasPublicationYear "2005" @default.
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