Cross hedging with stock index futures
This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia. Our daily dataset spans from August 2002 through November 2019. We apply the OLS, VECM and Maxima...
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Online Access: | http://irep.iium.edu.my/92373/7/92373_Cross%20hedging%20with%20stock%20index%20futures.pdf http://irep.iium.edu.my/92373/8/92373_Cross%20hedging%20with%20stock%20index%20futures_Scopus.pdf http://irep.iium.edu.my/92373/ https://www.sciencedirect.com/science/article/abs/pii/S1062976921001447 |
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my.iium.irep.923732021-09-21T02:12:14Z http://irep.iium.edu.my/92373/ Cross hedging with stock index futures Zainudin, Ahmad Danial Mohamad, Azhar HG4501 Stocks, investment, speculation This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia. Our daily dataset spans from August 2002 through November 2019. We apply the OLS, VECM and Maximal Overlap Discrete Wavelet Transform (MODWT) to calculate the optimal cross hedge ratio and cross hedging effectiveness. Our empirical results show that the US E-Mini DJIA$5 futures contract is the best cross hedging instrument for the UK FTSE100, followed by the Australia S&P/ASX 200. The multiscale cross hedging effectiveness results from the MODWT estimation suggest the optimal hedging period of more than 256 days with the US E-Mini DJIA$5 and Australia S&P/ASX 200 futures. Elsevier 2021-09-01 Article PeerReviewed application/pdf en http://irep.iium.edu.my/92373/7/92373_Cross%20hedging%20with%20stock%20index%20futures.pdf application/pdf en http://irep.iium.edu.my/92373/8/92373_Cross%20hedging%20with%20stock%20index%20futures_Scopus.pdf Zainudin, Ahmad Danial and Mohamad, Azhar (2021) Cross hedging with stock index futures. The Quarterly Review of Economics and Finance, 82. pp. 128-144. ISSN 1062-9769 E-ISSN 1878-4259 https://www.sciencedirect.com/science/article/abs/pii/S1062976921001447 10.1016/j.qref.2021.08.005 |
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HG4501 Stocks, investment, speculation Zainudin, Ahmad Danial Mohamad, Azhar Cross hedging with stock index futures |
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This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia. Our daily dataset spans from August 2002 through November 2019. We apply the OLS, VECM and Maximal Overlap Discrete Wavelet Transform (MODWT) to calculate the optimal cross hedge ratio and cross hedging effectiveness. Our empirical results show that the US E-Mini DJIA$5 futures contract is the best cross hedging instrument for the UK FTSE100, followed by the Australia S&P/ASX 200. The multiscale cross hedging effectiveness results from the MODWT estimation suggest the optimal hedging period of more than 256 days with the US E-Mini DJIA$5 and Australia S&P/ASX 200 futures. |
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Article |
author |
Zainudin, Ahmad Danial Mohamad, Azhar |
author_facet |
Zainudin, Ahmad Danial Mohamad, Azhar |
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Zainudin, Ahmad Danial |
title |
Cross hedging with stock index futures |
title_short |
Cross hedging with stock index futures |
title_full |
Cross hedging with stock index futures |
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Cross hedging with stock index futures |
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Cross hedging with stock index futures |
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cross hedging with stock index futures |
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Elsevier |
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2021 |
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http://irep.iium.edu.my/92373/7/92373_Cross%20hedging%20with%20stock%20index%20futures.pdf http://irep.iium.edu.my/92373/8/92373_Cross%20hedging%20with%20stock%20index%20futures_Scopus.pdf http://irep.iium.edu.my/92373/ https://www.sciencedirect.com/science/article/abs/pii/S1062976921001447 |
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