RİSKTEN KORUNMA PERİYOD UZUNLUĞU VE RİSKTEN KORUNMA ETKİNLİĞİ: VOB-ISE 30 ENDEKS VADELİ İŞLEM SÖZLEŞMESİ ÜZERİNE BİR UYGULAMA

Year 2010, Volume: 5 Issue: 18, 3081 - 3090, 01.06.2010

Emin AVCIMurat Çinko

Abstract

Keywords

-

RİSKTEN KORUNMA PERİYOD UZUNLUĞU VE RİSKTEN KORUNMA ETKİNLİĞİ: VOB-ISE 30 ENDEKS VADELİ İŞLEM SÖZLEŞMESİ ÜZERİNE BİR UYGULAMA

Abstract

This study aimed at analyzing the hedging period effect on the hedging effectiveness of the TURKDEXISE 30 index future contracts. The findings of the study presented, that weekly hedge periods are more effective than daily hedges in terms of risk reduction criteria

Keywords

Index futures, hedging, hedge period

References

• BENET, B.A. (1992). Hedge Period length and ex ante futures hedging effectiveness: the case of foreign exchange risk cross hedges. Journal of Futures Markets, 12, pp. 163-175.
• BHADURI, S. N., DURAI, 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), pp. 121–134. BUTTERWORTH, D., HOLMES, P. (2001). The hedging effectiveness of stock index futures: Evidence for the FTSE-100 and FTSE-MID250 indexes traded in the UK. Applied Financial Economics, 11, pp. 57-68.
• BUTTERWORTH, D., HOLMES, P. (2005). The hedging effectiveness of U.K. stock index futures contracts using an extended mean gini approach: Evidence for the FTSE 100 and FTSE Mid250 contracts.
• Multinational Finance Journal. 9(3/4), pp. 131–160. CHAMBERS, R. N. (1998). Türev Piyasalar. İstanbul: Avcıol Basım Yayın.
• CHUNG, S.K. (Basım Aşamasında) Bivariate mixed normal GARCH models and out-of-sample hedge performances. Finance Research Letters. COPELAND, L., ZHU, Y. (2006). Hedging effectiveness in the index futures market. Cardiff Business School
• Working Paper. Paper IMRU 060101, pp.1-19.
• EROL, Ü. 1999. Vadeli İşlem Piyasaları: Teori ve Pratik. İstanbul: İMKB Yayınları.
• FIGLEWSKI, S., KON, S. (1982). Portfolio management with stock index futures. Financial Analysts Journal, pp. 52-60.
• FIGLEWSKI. S. (1984). Hedging performance and basis risk in stock index futures. Journal of Finance, 39(3), pp. 657-669.
• HOLMES, P. (1996). Stock index futures hedging: Hedge ratio estimation, duration effects, expiration effects and hedge ratio stability. Journal of Business Finance and Accounting, 23(1), pp.63-77.
• IN, F., KIM, S. (2006). The hedge ratio and the empirical relationship between the stock and the futures markets: A new approach using wavelet analysis. Journal of Business, 79(2), pp. 799-820.
• KAVUSSANOS, G. M., VISVIKIS, D.H, (2008). Hedging effectiveness of the Athens stock index futures contracts. The European Journal of Finance, 14(3), pp.243-270.
• LAWS, J., THOMPSON, J. (2005). Hedging effectiveness of stock index futures. European Journal of
• Operational Research, 163, pp. 177-191. LIEN, D., TSE, Y.K., ZSUI, A. K. C. (2002). Evaluating the hedging performance of the constant-correlation
• GARCH model. Applied Financial Economics, 12(11), pp.791-798. LIEN, D., SHRESTHA, K. (2007). An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis. The Journal of Futures Markets. 27(2), pp.127–150.
• MALLIARIS, A.G., URRUTIA, J.L. (19991). The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge: Evidence from foreign currency futures, Journal of Futures Markets, 3, pp. 271-289.
• RIPPLE, R.D., MOOSA, I.A., (2007). Hedging effectiveness and futures contract maturity: The case of NYMEX crude oil futures. Applied Financial Economics, 17, pp. 683–689.
• TOSINI, P.A., MORIARTY, E.J. (1982). Potential hedging use of a futures contract based on a composite stock index. The Journal of Futures Markets. 2(1), pp. 83-103.
• WEINER, Neil S. (1981). The hedging rationale for a stock index futures contracts. The Journal of Futures Market, 1(1), pp. 59-76.
• YANG, W., ALLEN, D. E. (2004). Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets. Accounting and Finance, 45, pp. 301– 321.