A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio

2013 ◽  
Vol 34 (7) ◽  
pp. 658-675 ◽  
Author(s):  
Massimiliano Barbi ◽  
Silvia Romagnoli
Keyword(s):  
Risk Measure ◽  
Hedge Ratio ◽  
Optimal Hedge

Optimal Hedge Ratio and Hedging Effectiveness in Stock Futures Market: Evidence from National Stock Exchange, India

2019 ◽  
Vol 118 (3) ◽  
pp. 137-152
Author(s):  
A. Shanthi ◽  
R. Thamilselvan
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Research Work ◽  
Futures Market ◽  
Least Square ◽  
Time Varying ◽  
Hedge Ratio ◽  
Hedging Effectiveness ◽  
Out Of Sample ◽  
Optimal Hedge

The major objective of the study is to examine the performance of optimal hedge ratio and hedging effectiveness in stock futures market in National Stock Exchange, India by estimating the following econometric models like Ordinary Least Square (OLS), Vector Error Correction Model (VECM) and time varying Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model by evaluating in sample observation and out of sample observations for the period spanning from 1st January 2011 till 31st March 2018 by accommodating sixteen stock futures retrieved through www.nseindia.com by considering banking sector of Indian economy. The findings of the study indicate both the in sample and out of sample hedging performances suggest the various strategies obtained through the time varying optimal hedge ratio, which minimizes the conditional variance performs better than the employed alterative models for most of the underlying stock futures contracts in select banking sectors in India. Moreover, the study also envisage about the model selection criteria is most important for appropriate hedge ratio through risk averse investors. Finally, the research work is also in line with the previous attempts Myers (1991), Baillie and Myers (1991) and Park and Switzer (1995a, 1995b) made in the US markets

scholarly journals Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon

2008 ◽  
Vol 1 (1) ◽  
pp. 41-76 ◽  
Author(s):  
Michaël Dewally ◽  
Luke Marriott
Keyword(s):  
Hedge Ratio ◽  
Optimal Hedge

Wechselkursrisiko und Risikopolitik in internationalen Unternehmen

2008 ◽  
Vol 59 (1) ◽  
Author(s):  
Udo Broll ◽  
Jack E. Wahl
Keyword(s):  
Exchange Rate ◽  
Risk Aversion ◽  
Income Effect ◽  
Exchange Rate Risk ◽  
Hedge Ratio ◽  
International Firm ◽  
Rate Risk ◽  
Risk Effect ◽  
Optimal Hedge ◽  
Mean Variance

SummaryThe aim of this study is to analyze the importance of the elasticity of risk aversion with regard to an increase in exchange rate risk for exports and hedging in an international firm. Mean-variance preferences allow for an immediate study of the entailed substitution and income effect. These effects may cancel out, that is to say, the optimal hedge ratio remains unchanged although the exchange rate risk increases. The elasticity of risk aversion provides an unambiguous answer to the question how to measure such risk effect.

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