Year 2009,
Volume: 1 Issue: 85, 27 - 37, 01.10.2009
Abstract
Keywords
References
- Aggarwal, R. ve Demaskey, |. A. 1997. Cross-Hedging currency risks in Asian emerging markets using derivatives in maior currencies. Journal of Portfolio Management. Spring: 88-95.
- Bhacluri, S. N. ve Durai, S. R. S. 2008. Optimal hedge ratio and hedging effec- tiveness of stock index futures: evidence from India. Macroeconomics and Fi— nance in Emerging Market Economies,1 (1 ):121 -1 34.
- Brealey, R. ve Kaplanis, E. 1995. Discrete exchange rate hedging strategies. Journal of Banking and Finance, 19: 765-784.
- Ceylan, A. ve Korkmaz, T. 2004. Sermaye Piyasası ve Menkul Değerler Analizi. Ekin Kitabevi, 2. Baskı, Bursa.
- Chen, S.S., Lee, C. ve Shrestha, K. 2003. Futures hedge ratios: A review. The Quarterly Review of Economics and Finance. 43: 433-465.
- Copeland, L. ve Zhu, Y. 2006. Hedging effectiveness in the index futures market. Cardiff Business School Working Paper, IMRU 060101 :1-19.
- Ederington, L. H. 1979. The hedging performance of new futures markets. Jour— nal of Finance, 39(1 ): 157-70.
- Figlewski, S. 1984. Hedging performance and basis risk in stock index futures. Journal of Finance, 39(3): 657-669.
- Floros, C. ve Vougas, D.V. 2006. Hedging effectiveness in Greek stock index futures market, 1999-2001. International Research Journal of Finance and Economics. 5:7-18.
- Glen, J. ve Jorion, P. 1993. Currency hedging for international porlfolios", Jour— nal of Finance. 48: 1865-1886.
- Holmes, P. 1996. Stock index futures hedgiıng: hedge ratio estimation, duration effects, expiration effects and hedge ratio stability. Journal of Businees, Fi— nance and Accounting. 23(1): 63-77.
- Johnson, L. L. 1960. The theory of hedging and speculation in commodity fu- tures. The Review of Economic Studies. 27: 139-151 .
- Kavussanos, G. Manolis ve Visvikis, D. H. 2008. Hedging effetiveness of the athens stock index futures contracts. The European Journal of Finance. 14(3): 243-270.
- Lence, S. H. 1995. The economic value of minimum variance hedges. American Journal ongricu/tural Economics. 77: 353-364.
- Lence, S. H. 1996. Relaxing the assumptions of minimum variance hedging. Journal ongricu/tural and Resource Economics. 21 : 39-55.
- Lien, D.; Tse, Y. K. ve Tsui, A. K. C. 2002. evaluating the hedging performance of the constant-correlation GARCH model. Applied Financial Economics 12(1 1): 791 -798.
- Sarıkamış, C. 1998. Sermaye Pazarları. Alfa Basım Yayım, 3. Baskı, lstanbul.
- Solnik, B. 1991 . International lnvestments. Addison-Wesley.
Year 2009,
Volume: 1 Issue: 85, 27 - 37, 01.10.2009
Abstract
Bu çalışmada İstanbul Menkul Kıymetler Borsası’nda (İMKB) işlem gören şirket hisse senetlerinden oluşturulan portföylerin risklerinin azaltılması amacıyla, Vadeli İşlem ve Opsiyon Borsası’nda (VOB) işlem gören VOB-İMKB 30 endeks sözleşmeleri kullanılmıştır. Çalışmanın sonuçları VOB-İMKB 30 endeks sözleşmelerinin hisse senedi portföy risklerini %90 ile %56 oranları arasında azaltabildiğini göstermiştir. Risk azaltma etkinliği açısından günlük ve haftalık korunma stratejileri arasında büyük bir farklılık bulunamamıştır
References
- Aggarwal, R. ve Demaskey, |. A. 1997. Cross-Hedging currency risks in Asian emerging markets using derivatives in maior currencies. Journal of Portfolio Management. Spring: 88-95.
- Bhacluri, S. N. ve Durai, S. R. S. 2008. Optimal hedge ratio and hedging effec- tiveness of stock index futures: evidence from India. Macroeconomics and Fi— nance in Emerging Market Economies,1 (1 ):121 -1 34.
- Brealey, R. ve Kaplanis, E. 1995. Discrete exchange rate hedging strategies. Journal of Banking and Finance, 19: 765-784.
- Ceylan, A. ve Korkmaz, T. 2004. Sermaye Piyasası ve Menkul Değerler Analizi. Ekin Kitabevi, 2. Baskı, Bursa.
- Chen, S.S., Lee, C. ve Shrestha, K. 2003. Futures hedge ratios: A review. The Quarterly Review of Economics and Finance. 43: 433-465.
- Copeland, L. ve Zhu, Y. 2006. Hedging effectiveness in the index futures market. Cardiff Business School Working Paper, IMRU 060101 :1-19.
- Ederington, L. H. 1979. The hedging performance of new futures markets. Jour— nal of Finance, 39(1 ): 157-70.
- Figlewski, S. 1984. Hedging performance and basis risk in stock index futures. Journal of Finance, 39(3): 657-669.
- Floros, C. ve Vougas, D.V. 2006. Hedging effectiveness in Greek stock index futures market, 1999-2001. International Research Journal of Finance and Economics. 5:7-18.
- Glen, J. ve Jorion, P. 1993. Currency hedging for international porlfolios", Jour— nal of Finance. 48: 1865-1886.
- Holmes, P. 1996. Stock index futures hedgiıng: hedge ratio estimation, duration effects, expiration effects and hedge ratio stability. Journal of Businees, Fi— nance and Accounting. 23(1): 63-77.
- Johnson, L. L. 1960. The theory of hedging and speculation in commodity fu- tures. The Review of Economic Studies. 27: 139-151 .
- Kavussanos, G. Manolis ve Visvikis, D. H. 2008. Hedging effetiveness of the athens stock index futures contracts. The European Journal of Finance. 14(3): 243-270.
- Lence, S. H. 1995. The economic value of minimum variance hedges. American Journal ongricu/tural Economics. 77: 353-364.
- Lence, S. H. 1996. Relaxing the assumptions of minimum variance hedging. Journal ongricu/tural and Resource Economics. 21 : 39-55.
- Lien, D.; Tse, Y. K. ve Tsui, A. K. C. 2002. evaluating the hedging performance of the constant-correlation GARCH model. Applied Financial Economics 12(1 1): 791 -798.
- Sarıkamış, C. 1998. Sermaye Pazarları. Alfa Basım Yayım, 3. Baskı, lstanbul.
- Solnik, B. 1991 . International lnvestments. Addison-Wesley.
There are 18 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Authors | |
| Submission Date | December 19, 2015 |
| Publication Date | October 1, 2009 |
| IZ | https://izlik.org/JA74RB95WM |
| Published in Issue | Year 2009 Volume: 1 Issue: 85 |
Cite
The scope of the Journal of Finance Letters consists of studies in the fields of economics, public finance, finance, and banking.