On the stationarity of futures hedge ratios

被引：0
|
作者：
Stavros Degiannakis
Christos Floros
Enrique Salvador
Dimitrios Vougas
机构：
[1] Panteion University of Social and Political Sciences,Department of Economics and Regional Development
[2] Hellenic Mediterranean University,Department of Accounting and Finance
[3] Universitat Jaume I,Finance and Accounting Department
[4] Swansea University,Department of Accounting and Finance, School of Management
[5] Bay Campus,undefined
来源：
Operational Research | 2022年 / 22卷
关键词：
Future; Hedge ratios; Intra-day data; Multivariate volatility modelling; Regime-switching; Stationarity; G13; C58; G15; C32;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the sensitivity of spot and Future returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock indices are better described as a combination of two different mean-reverting stationary processes, which depend on the state of the market. Also, when analysing the dynamics of hedge ratios at intraday level, results display a similar picture suggesting that intraday dynamics of the hedge between spot and Future are driven mainly by market participants with similar perspectives of the investment horizon.
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页码：2281 / 2303
页数：22
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