Abstract
The aim of this study is to examine the hedging effectiveness of Future
index contracts traded on the Istanbul Stock Exchange during the 2008 global
financial crisis. Data set covers the period from February 2, 2005 to July 7,
2009. This research also provides an empirical econometric technique in the
context of hedging the market risk using the ISE 30 index futures contract of
the Turkish Derivatives Market. For this purpose, we have estimated optimal stock
index futures hedge ratio for BIST-30 stock index using bivariate VAR (7)-MGARCH
(1,1) Model. The results showed that stock index futures contracts in TURDEX
are effective tool for hedging risk, which is consistent with most of the earlier
studies in index futures. We also did not observe a change in the hedge ratio
during the global crisis period. Investors
who are interested in the Istanbul stock market can benefit from the results of
this study by developing appropriate model in order to reduce their risk more
efficiently.
Keywords
References
- Hatemi-J. A. & Roca, E., (2006). Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach. Applied Economics Letters, Taylor and Francis Journals, vol. 13(5), pages 293-299. Bhaduri, S., & Durai, S.R.S. (2008). Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India. Macroeconomics and Finance in Emerging Market Economies,1:1,121 — 134. Bollerslev, T. (1987). A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics. 69, 33 542-547. Chakraborty, A., & Barkoulas, J.T, (1999). Dynamic futures hedging in currency markets. The European Journal of Finance, 5, 299-314. Dejong, D.N. & Whiteman C.H., (1991). Reconsidering ‘trends and random walks im macroeconomic time series’ Journal of Monetary Economics. 28, 2 221- 254. Ederington, L. H. (1979). The hedging performance of the new futures markets. Journal of Finance, 34, 157-170. Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica,50, 4, 987 – 1007. Engle R.F., & Kroner K.F. (1995). Multivariate Simultaneous Generalized ARCH, Econometric Theory, 11(1) 122- 150. Floros, C., & Vougas, D.V. (2004). Hedge ratios in Greek stock index futures market. Applied Financial Economics. 2004, 14, 1125–1136 Howard, C., & D’Antonio, L. (1987). A risk-return measure of hedging effectiveness: a reply. Journal of Financial and Quantitative Analysis. 22, 377-381. Lindahl, M. (1991). Risk-return hedging effectiveness measures for stock index futures. Journal of Futures Markets, 11, 399-409. Lien, D. D., Tse, Y.K., & Tsui, A.K.C. (2002). Evaluating the hedging performance of the constant-correlation GARCH model. Applied Financial Economics. 12-11, 791-798 Moschini, G., & Aradhyula, S., (1993). Constant or Time-Varying Optimal Hedge Ratios?, Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management..Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134] Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of İnvestments, John Wiley and Sons, Inc., New York. Laws, J. & Thompson J.(2005). Hedging effectiveness of stock index futures. European Journal of Operational Research. 163, 177–191 Moschini, G.C., & Myers, R.J., (2001). Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach. Staff General Research Papers 1945, Iowa State University, Department of Economics. Pattarin, F. & Ferretti, R., (2004). The Mib30 index and futures relationship: Econometric analysis and implications for hedging. Applied Financial Economics. 14, 1281–128. Schwert G.W. (1987). Effects of Model Specification on Tests for Unit Roots in Macroeconomşc Data. Journal of Monetary Economics. 20,1, 73-103. Syriopoulos, T. & Roumpis, E., (2008). Dynamic Correlations and Volatility Effects in the Balkan Equity Markets, Journal of International Markets, Institutions & Money. doi:10.1016/ j.intfin.2008.08.002 Yang, W.J., (2001). M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets. Available at SSRN: https://ssrn.com/abstract=259968 or http://dx.doi.org/10.2139/ssrn.259968
Abstract
Çalışmanın amacı
2008 finansal krizi sırasında İstanbul Menkul Kıymetler Borsası üzerinde işlem
gören vadeli endeks sözleşmelerinin hedge etkinliğini araştırmaktır.Veri seti 2
Şubat 2005 ve 7 Temmuz 2009 arası dönemi kapsamaktadır. Çalışma Türkiye Vadeli
İşlemler ve Opsiyon Piyasası’nda ISE30 endeks vadeli sözleşmesini kullanarak
pazar riskine karşı koruma etkinliğini ampirik bir teknik ile göstermektedir. Bu
amaçla, optimum borsa endeks hedge oranını BIST- 30 hisse senedi endeksi için
iki değişkenli VAR(7)-MGARCH(1,1) modeli ile tahmin edilmiştir. Sonuçlara göre,
borsa endeks sözleşmeleri için yapılan ilk çalışmalara benzer olarak borsa
endeks sözleşmeleri risk yönetimi için etkili bir araçtır. Kriz dönemi içinse
hedge oranında bir değişim gözlemlenmemiştir. Borsa İstanbul’la ilgilenen yatırımcılar
risklerini daha etkili bir şekilde yönetmek ve model geliştirmek için bu
çalışmadan yararlanabilirler.
Keywords
References
- Hatemi-J. A. & Roca, E., (2006). Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach. Applied Economics Letters, Taylor and Francis Journals, vol. 13(5), pages 293-299. Bhaduri, S., & Durai, S.R.S. (2008). Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India. Macroeconomics and Finance in Emerging Market Economies,1:1,121 — 134. Bollerslev, T. (1987). A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics. 69, 33 542-547. Chakraborty, A., & Barkoulas, J.T, (1999). Dynamic futures hedging in currency markets. The European Journal of Finance, 5, 299-314. Dejong, D.N. & Whiteman C.H., (1991). Reconsidering ‘trends and random walks im macroeconomic time series’ Journal of Monetary Economics. 28, 2 221- 254. Ederington, L. H. (1979). The hedging performance of the new futures markets. Journal of Finance, 34, 157-170. Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica,50, 4, 987 – 1007. Engle R.F., & Kroner K.F. (1995). Multivariate Simultaneous Generalized ARCH, Econometric Theory, 11(1) 122- 150. Floros, C., & Vougas, D.V. (2004). Hedge ratios in Greek stock index futures market. Applied Financial Economics. 2004, 14, 1125–1136 Howard, C., & D’Antonio, L. (1987). A risk-return measure of hedging effectiveness: a reply. Journal of Financial and Quantitative Analysis. 22, 377-381. Lindahl, M. (1991). Risk-return hedging effectiveness measures for stock index futures. Journal of Futures Markets, 11, 399-409. Lien, D. D., Tse, Y.K., & Tsui, A.K.C. (2002). Evaluating the hedging performance of the constant-correlation GARCH model. Applied Financial Economics. 12-11, 791-798 Moschini, G., & Aradhyula, S., (1993). Constant or Time-Varying Optimal Hedge Ratios?, Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management..Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134] Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of İnvestments, John Wiley and Sons, Inc., New York. Laws, J. & Thompson J.(2005). Hedging effectiveness of stock index futures. European Journal of Operational Research. 163, 177–191 Moschini, G.C., & Myers, R.J., (2001). Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach. Staff General Research Papers 1945, Iowa State University, Department of Economics. Pattarin, F. & Ferretti, R., (2004). The Mib30 index and futures relationship: Econometric analysis and implications for hedging. Applied Financial Economics. 14, 1281–128. Schwert G.W. (1987). Effects of Model Specification on Tests for Unit Roots in Macroeconomşc Data. Journal of Monetary Economics. 20,1, 73-103. Syriopoulos, T. & Roumpis, E., (2008). Dynamic Correlations and Volatility Effects in the Balkan Equity Markets, Journal of International Markets, Institutions & Money. doi:10.1016/ j.intfin.2008.08.002 Yang, W.J., (2001). M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets. Available at SSRN: https://ssrn.com/abstract=259968 or http://dx.doi.org/10.2139/ssrn.259968
Details
| Journal Section | AÇIK ERİŞİM POLİTİKASI |
|---|---|
| Authors | |
| Publication Date | August 22, 2017 |
| Published in Issue | Year 2017 Volume: 6 Issue: 12 |