 Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methodsJian Zhou () Economic Modelling, 2016, vol. 52, issue PB, 690-698 Abstract: Futures contracts based on REIT market indices remain an under-researched topic, given their short history. This paper extends the literature by examining what hedge-ratio estimation method yields the most effective hedging performance of REIT futures. We include a wide range of commonly used methods and apply them to all four global markets which have developed REIT index futures (i.e., Australia, Europe, Japan & the U.S.). By adopting an out-of-sample analytical framework, our results show that there exist multiple methods in each market that can be considered best performers and the mix of best performers varies across markets. Furthermore, our results suggest that constant hedge-ratio methods are not necessarily inferior to their time-varying counterparts, and that a more complicated GARCH model does not necessarily lead to better performance than a more parsimonious one. Finally, only DCC and BEKK are found to rank consistently among the best performers across all four markets when we examine collectively the results using different out-of-sample periods. However, this does not mean that hedgers will always want to use them. Keywords: REIT index futures; Hedge ratio; Hedging performance; Out-of-sample analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:52:y:2016:i:pb:p:690-698 DOI: 10.1016/j.econmod.2015.10.009 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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