Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
Juan Carlos Gutierrez Betancur ()
Revista Ecos de Economía, 2017, vol. 21, issue 44, 37-71
This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging ratio using stock index futures. The results indicate that the estimates made by the RMM method provide a better fit and increase the efficiency of a hedging strategy when there are outliers in the estimation window of beta.
Keywords: Estimation of beta; robust statistics MM (RMM); ordinary least squares (OLS); hedging ratio with stock MILA market index futures. (search for similar items in EconPapers)
JEL-codes: G12 G17 C14 C18 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:col:000442:015652
Access Statistics for this article
More articles in Revista Ecos de Economía from Universidad EAFIT
Bibliographic data for series maintained by Centro de Investigaciones Económicas y Financieras (CIEF) ().