TY - JOUR
T1 - Hedge ratios in Greek stock index futures market
AU - Floros, Christos
AU - Vougas, Dimitrios V.
PY - 2004/10/15
Y1 - 2004/10/15
N2 - This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to derive and estimate underlying hedge ratios. Standard OLS regressions, simple and vector error correction models, as well as multivariate generalized autoregressive heteroscedasticity (M-GARCH) models are employed to estimate corresponding hedge ratios that can be employed in hedging (viewed as risk management). In both cases for Greek stock index futures, M-GARCH models (capturing time-variation) provide best hedging ratios, in line with similar findings in the literature. These models are strongly recommended to risk managers dealing with Greek stock index futures.
AB - This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to derive and estimate underlying hedge ratios. Standard OLS regressions, simple and vector error correction models, as well as multivariate generalized autoregressive heteroscedasticity (M-GARCH) models are employed to estimate corresponding hedge ratios that can be employed in hedging (viewed as risk management). In both cases for Greek stock index futures, M-GARCH models (capturing time-variation) provide best hedging ratios, in line with similar findings in the literature. These models are strongly recommended to risk managers dealing with Greek stock index futures.
UR - http://www.scopus.com/inward/record.url?scp=8644228530&partnerID=8YFLogxK
U2 - 10.1080/09603100412331297702
DO - 10.1080/09603100412331297702
M3 - Article
AN - SCOPUS:8644228530
SN - 0960-3107
VL - 14
SP - 1125
EP - 1136
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 15
ER -