M.Comm. (Financial Economics) / This study provides an assessment of the comparative effectiveness of four methods of estimating the optimal hedge ratio in the South African equity and futures markets. This study bases the effectiveness of hedging on volatility reduction and minimisation of the coefficient of variation of hedged returns as well as the risk-aversion based on utility maximisation. The empirical analysis shows that the static single equation method estimated by ordinary least squares is the most effective over daily hedging periods. However, the vector error-correction method and multivariate GARCH methods are most effective over weekly and monthly hedging periods. Vector autoregression method is the least effective method over all hedging periods.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uj/uj:7713 |
| Date | 30 July 2013 |
| Source Sets | South African National ETD Portal |
| Detected Language | English |
| Type | Thesis |
| Rights | University of Johannesburg |
Page generated in 0.0026 seconds