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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62033


    Title: Hedging with Foreign-Listed Single Stock Futures
    Authors: Mao-wei Hung;Cheng-few Lee;Leh-chyan So
    教師: 索樂晴
    Date: 2005
    Publisher: greenwich connecticut
    Relation: Advances in Quantitative Analysis of Finance and Accounting,greenwich connecticut,vol. 2,2005
    Keywords: Hedging
    GJR-GARCH
    hedge ratios
    SSFs
    single stock futures
    LIFFE
    USFs
    Abstract: The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London International Financial Future and Options Exchange (LIFFE) are used in this research. We find that the data series have high estimated constant optimal hedge ratios and high constant correlation in the bivariate GJR-GARCH model, except for three SSFs with their underlying stocks traded in Italy. Our findings provide evidence that distance is a critical factor when explaining investor's trading behavior. Results also show that in general, of the three methods examined (i.e., naïve hedge, conventional OLS method and dynamic hedging) the dynamic hedging performs the best and that naïve hedge is the worst.
    URI: http://ebooks.worldscinet.com/ISBN/9789812565457/preserved-docs/9789812565457_0008.pdf
    http://www.greenwichct.org/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62033
    Appears in Collections:[計量財務金融學系] 期刊論文

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