Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
| Autor: | Alfonso Novales, Pablo Urtubia, Andrés Mora-Valencia |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Index (economics)
Mercados bursátiles y financieros Economía financiera General Mathematics Autoregressive conditional heteroskedasticity Stock market index Cross hedging hedging efficiency QA1-939 Computer Science (miscellaneous) Econometrics Economics asymmetric multivariate GARCH models Portfolio Position (finance) Econometría Hedge (finance) Engineering (miscellaneous) Futures contract futures markets Mathematics cross-hedging |
| Zdroj: | Mathematics Volume 9 Issue 21 Mathematics, Vol 9, Iss 2736, p 2736 (2021) |
| ISSN: | 2227-7390 |
| DOI: | 10.3390/math9212736 |
| Popis: | We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro. Since there is not a futures market on the index, it is unclear whether a relatively successful hedge can be found. We explore the plausibility of employing futures on four stock market indices: EUROSTOXX 50, S& P500, BOVESPA, and IPC, and simulate the results that could be obtained by a hedge position based on either unconditional or conditional second order moments estimated from different asymmetric GARCH models. Several criteria for hedging effectiveness suggest that futures contracts on BOVESPA should be preferred, and that a salient reduction in risk can be achieved over the unhedged LATIBEX portfolio. The evidence in favor of a better performance of conditional moments is very clear, without significant differences among the alternative GARCH specifications. |
| Databáze: | OpenAIRE |
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