Time-Varying Structure of the Optimal Hedge Ratio for Emerging Markets

Metin Tetik and Ercan Özen
Additional contact information
Metin Tetik: UÅŸak University
Ercan Özen: Uşak University

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2022, vol. 69, issue 4, 521 - 537

Abstract: Emerging markets are more exposed to risk than developed markets. Therefore, they require risk management using futures market instruments. This study aims to determine the hedging effectiveness of the spot index market risks in the stock index futures market in Brazil, Russia, India, South Africa, and Turkey. Measuring the hedging effectiveness level of futures markets is vital for these countries because investors must remain in the stock markets for the sustainability of the financial markets and economies. Weekly closing data for the period from January 2009 to October 2021 were analyzed via a dynamic method referred to as flexible least squares (FLS). Although the FLS results show that futures transactions provide high hedging effectiveness for all countries within the scope of this study, country-specific conditions may reduce the hedging effectiveness.

Keywords: Financial Markets, Asset Markets; Spot and Future Market; Optimal Hedging Ratio (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1624 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aic:saebjn:v:69:y:2022:i:4:p:521-537:n:7

Access Statistics for this article

More articles in Scientific Annals of Economics and Business (continues Analele Stiintifice) from Alexandru Ioan Cuza University, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Sireteanu Napoleon-Alexandru ().