Hedging Risk in Stock Portfolios

Emin Avcı, Murat Çinko and Levent Çinko
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Emin Avcı: Marmara University
Murat Çinko: Marmara University
Levent Çinko: Marmara University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2009, vol. 24, issue 85, 27-37

Abstract: In this study, in order to minimize the risks of stock portfolios, which are composed of Istanbul Stock Exchange (ISE) traded securities, Turkish Derivatives Exchange (TURKDEX) traded TURKDEX-ISE 30 index futures contracts were utilized. The findings of the study presented that the TURKDEX-ISE 30 index futures con- tracts could decrease the riskiness of stock portfolios at rates between 90% and 56%. There was no great divergence on the basis of risk reduction effectiveness between the daily and weekly hedging strategies.

Keywords: Hedging; Index Futures; Hedge Ratio (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:24:y:2009:i:85:p:27-37

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