Juan Carlos Gutiérrez Betancur, Astrid Katherine Gutiérrez Díaz, Andrés Fernández
{"title":"拉丁美洲一体化市场股指期货的稳健估计与套期保值比率","authors":"Juan Carlos Gutiérrez Betancur, Astrid Katherine Gutiérrez Díaz, Andrés Fernández","doi":"10.17230/ecos.2017.44.2","DOIUrl":null,"url":null,"abstract":"This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging ratio using stock index futures. The results indicate that the estimates made by the RMM method provide a better fit and increase the efficiency of a hedging strategy when there are outliers in the estimation window of beta.","PeriodicalId":40682,"journal":{"name":"Ecos de Economia","volume":"21 1","pages":"37-71"},"PeriodicalIF":0.0000,"publicationDate":"2017-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market\",\"authors\":\"Juan Carlos Gutiérrez Betancur, Astrid Katherine Gutiérrez Díaz, Andrés Fernández\",\"doi\":\"10.17230/ecos.2017.44.2\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging ratio using stock index futures. The results indicate that the estimates made by the RMM method provide a better fit and increase the efficiency of a hedging strategy when there are outliers in the estimation window of beta.\",\"PeriodicalId\":40682,\"journal\":{\"name\":\"Ecos de Economia\",\"volume\":\"21 1\",\"pages\":\"37-71\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-06-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Ecos de Economia\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.17230/ecos.2017.44.2\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Ecos de Economia","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17230/ecos.2017.44.2","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging ratio using stock index futures. The results indicate that the estimates made by the RMM method provide a better fit and increase the efficiency of a hedging strategy when there are outliers in the estimation window of beta.
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