Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market

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dc.contributor.author Lafuente Luengo, Juan Ángel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned CT18:10:23Z
dc.date.available 2010-12-20T18:10:23Z
dc.date.issued 2000-01
dc.identifier.uri http://hdl.handle.net/10016/9853
dc.description.abstract This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between the futures trading price and its theoretical valuation according to the cost-of-carry model occurs. Under the assumption of a geometric Brownian motion for spot prices we model the mispricing by a new specific noise in the theoretical dynamic of futures market. Empirical evidence above the model is provided for the Spanish stock index futures. Ex-post simulations reveal that hedging effectiveness applying the estimated ratio is similar to the achieved with a systematic unitary hedge ratio, the optimal one when a mispricing does not appear. However, a small number of futures contracts is needed.
dc.format.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.relation.ispartofseries 00-05
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Hedge
dc.subject.other Futures
dc.subject.other Stock index
dc.subject.other GARCH
dc.subject.other Mispricing
dc.title Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
dc.type workingPaper
dc.subject.jel C51
dc.subject.jel G11
dc.subject.jel G13
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
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