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Short-run deviations and optimal hedge ratio: evidence from stock futures

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  • Choudhry, Taufiq

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  • Choudhry, Taufiq, 2003. "Short-run deviations and optimal hedge ratio: evidence from stock futures," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 171-192, April.
    • Handle: RePEc:eee:mulfin:v:13:y:2003:i:2:p:171-192
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    1. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
    2. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    3. Corbet, Shaen & Lucey, Brian & Peat, Maurice & Vigne, Samuel, 2018. "Bitcoin Futures—What use are they?," Economics Letters, Elsevier, vol. 172(C), pages 23-27.
    4. Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2609-2624.
    5. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431.
    6. Lumengo Bonga-Bonga & Ekerete Umoetok, 2016. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 3999-4018, September.
    7. Luo, Rui & Fortenbery, T. Randall, 2016. "Corporate Hedging In Incomplete Markets: A Solution Under Price Transmission," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235444, Agricultural and Applied Economics Association.
    8. Virginie Coudert & Hélène Raymond-Feingold, 2011. "Gold and financial assets: Are there any safe havens in bear markets?," Economics Bulletin, AccessEcon, vol. 31(2), pages 1613-1622.
    9. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 107-121.
    10. Waël Louhichi & Hassen Rais, 2019. "Refinement of the hedging ratio using copula-GARCH models," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 403-411, September.
    11. Kunlapath Sukcharoen & Hankyeung Choi & David J. Leatham, 2015. "Optimal gasoline hedging strategies using futures contracts and exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 47(32), pages 3482-3498, July.
    12. Chang, Chiao-Yi & Lai, Jing-Yi & Chuang, I-Yuan, 2010. "Futures hedging effectiveness under the segmentation of bear/bull energy markets," Energy Economics, Elsevier, vol. 32(2), pages 442-449, March.
    13. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Copula based Dynamic Hedging Strategy with Futures," Economics Bulletin, AccessEcon, vol. 32(4), pages 3394-3400.
    14. In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
    15. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
    16. Jahangir Sultan & Mohammad Hasan, 2008. "The effectiveness of dynamic hedging: evidence from selected European stock index futures," The European Journal of Finance, Taylor & Francis Journals, vol. 14(6), pages 469-488.
    17. Alshammari, Saad & Obeid, Hassan, 2023. "Analyzing commodity futures and stock market indices: Hedging strategies using asymmetric dynamic conditional correlation models," Finance Research Letters, Elsevier, vol. 56(C).
    18. ÇELİK, İsmail, 2021. "Optimal Hedge Ratio In Turkish Stock Index Futures Market: A Deco-Fiaparch Approach," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 25(4), pages 17-33, December.
    19. Bai, Yujuan & Pan, Zhiyuan & Liu, Li, 2019. "Improving futures hedging performance using option information: Evidence from the S&P 500 index," Finance Research Letters, Elsevier, vol. 28(C), pages 112-117.
    20. Chiou-Wei, Song-Zan & Chen, Sheng-Hung & Zhu, Zhen, 2020. "Natural gas price, market fundamentals and hedging effectiveness," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 321-337.
    21. G McMillan, David, 2005. "Time-varying hedge ratios for non-ferrous metals prices," Resources Policy, Elsevier, vol. 30(3), pages 186-193, September.

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