新兴市场最优套期保值率的时变结构

IF 0.9 Q3 ECONOMICS

Scientific Annals of Economics and Business Pub Date : 2022-12-19 DOI:10.47743/saeb-2022-0030

Metin Teti̇k, Ercan Özen

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引用次数: 0

摘要

新兴市场比发达市场更容易受到风险的影响。因此，他们需要使用期货市场工具进行风险管理。本研究旨在确定巴西、俄罗斯、印度、南非和土耳其股指期货市场现货指数市场风险的套期保值有效性。衡量期货市场的对冲有效性水平对这些国家至关重要，因为投资者必须留在股票市场，以维持金融市场和经济的可持续性。2009年1月至2021年10月的每周收盘数据通过灵活最小二乘(FLS)动态方法进行分析。虽然FLS结果表明，期货交易为本研究范围内的所有国家提供了较高的套期保值有效性，但各国的具体条件可能会降低套期保值有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Time-Varying Structure of the Optimal Hedge Ratio for Emerging Markets

Emerging markets are more exposed to risk than developed markets. Therefore, they require risk management using futures market instruments. This study aims to determine the hedging effectiveness of the spot index market risks in the stock index futures market in Brazil, Russia, India, South Africa, and Turkey. Measuring the hedging effectiveness level of futures markets is vital for these countries because investors must remain in the stock markets for the sustainability of the financial markets and economies. Weekly closing data for the period from January 2009 to October 2021 were analyzed via a dynamic method referred to as flexible least squares (FLS). Although the FLS results show that futures transactions provide high hedging effectiveness for all countries within the scope of this study, country-specific conditions may reduce the hedging effectiveness.

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来源期刊

Scientific Annals of Economics and Business ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

10 weeks

期刊介绍： The Journal called Scientific Annals of Economics and Business (formerly Analele ştiinţifice ale Universităţii "Al.I. Cuza" din Iaşi. Ştiinţe economice / Scientific Annals of the Alexandru Ioan Cuza University of Iasi. Economic Sciences), was first published in 1954. It is published under the care of the Alexandru Ioan Cuza University, the oldest higher education institution in Romania, a place of excellence and innovation in education and research since 1860. Throughout its editorial life, the journal has been continuously improving. Renowned professors, well-known in the country and abroad, have published in this journal. The quality of the published materials is ensured both through their review by external reviewers of the institution and by the editorial staff that includes professors for each area of interest. The journal published papers in the following main sections: Accounting; Finance, Money and Banking; Management, Marketing and Communication; Microeconomics and Macroeconomics; Statistics and Econometrics; The Society of Knowledge and Business Information Systems.