Optimal Hedging Strategies of Stock Index Futures Based on the Perspective of Information Asymmetry
نویسندگان
چکیده
منابع مشابه
Hedging effectiveness of stock index futures
1 Introduction This paper is concerned with the use of stock indices futures to hedge the return on portfolios. This topic has received considerable attention in the literature, which will be briefly summarised in section 2 of the paper. First of all it is desirable to consider the nature of hedging. The main aim of hedging is assumed to be the minimisation of the variance of the return on the ...
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This paper examines hedging effectiveness in Greek stock index futures market. We focus on various techniques to estimate variance reduction from constant and time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we employ a variety of models to derive and estimate the effectiveness of hedging. We measure hedging effectiveness usi...
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ژورنال
عنوان ژورنال: Open Journal of Applied Sciences
سال: 2020
ISSN: 2165-3917,2165-3925
DOI: 10.4236/ojapps.2020.102002