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Hedging with Foreign-listed Single Stock Futures

机译:对外上市单一股票期货进行套期保值

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摘要

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.
机译:本文的目的是估计外国上市的单一股票期货(SSF)的对冲比率,并比较不同方法降低风险的表现。采用OLS方法和二元GJR-GARCH模型分别估计恒定的最优套期保值率和动态套期保值率。本研究使用伦敦国际金融期货和期权交易所(LIFFE)上列出的SSF的数据。我们发现,该数据系列在双变量GJR-GARCH模型中具有较高的估计恒定最优套期保值比率和较高的恒定相关性,但三只SSF的标的股票在意大利交易。我们的发现提供了证据,证明距离是解释投资者交易行为的关键因素。结果还表明,总体而言,在所研究的三种方法(即朴素对冲,常规OLS方法和动态对冲)中,动态对冲表现最佳,而朴素对冲则表现最差。

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