Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index

We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro. Since there is not a futures market on the index, it is unclear whether a relatively successful...

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Detalhes bibliográficos
Autores: Urtubia, Pablo, Novales Cinca, Alfonso Santiago, Mora-Valencia, Andrés
Formato: artículo
Fecha de publicación:2021
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/5013
Acesso em linha:https://hdl.handle.net/20.500.14352/5013
Access Level:acceso abierto
Palavra-chave:Cross-hedging
Futures markets
Hedging efficiency
Asymmetric multivariate GARCH models.
Economía financiera
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/5013
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spelling Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX IndexUrtubia, PabloNovales Cinca, Alfonso SantiagoMora-Valencia, AndrésCross-hedgingFutures marketsHedging efficiencyAsymmetric multivariate GARCH models.Economía financieraEconometría (Economía)Mercados bursátiles y financieros5302 EconometríaWe consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro. Since there is not a futures market on the index, it is unclear whether a relatively successful hedge can be found. We explore the plausibility of employing futures on four stock market indices: EUROSTOXX 50, S&P500, BOVESPA, and IPC, and simulate the results that could be obtained by a hedge position based on either unconditional or conditional second order moments estimated from different asymmetric GARCH models. Several criteria for hedging effectiveness suggest that futures contracts on BOVESPA should be preferred, and that a salient reduction in risk can be achieved over the unhedged LATIBEX portfolio. The evidence in favor of a better performance of conditional moments is very clear, without significant differences among the alternative GARCH specifications.MPDIUniversidad Complutense de Madrid20212021-01-0120212021-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/5013reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/50132026-06-02T12:44:21Z
dc.title.none.fl_str_mv Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
title Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
spellingShingle Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
Urtubia, Pablo
Cross-hedging
Futures markets
Hedging efficiency
Asymmetric multivariate GARCH models.
Economía financiera
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
title_short Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
title_full Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
title_fullStr Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
title_full_unstemmed Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
title_sort Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
dc.creator.none.fl_str_mv Urtubia, Pablo
Novales Cinca, Alfonso Santiago
Mora-Valencia, Andrés
author Urtubia, Pablo
author_facet Urtubia, Pablo
Novales Cinca, Alfonso Santiago
Mora-Valencia, Andrés
author_role author
author2 Novales Cinca, Alfonso Santiago
Mora-Valencia, Andrés
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv Cross-hedging
Futures markets
Hedging efficiency
Asymmetric multivariate GARCH models.
Economía financiera
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
topic Cross-hedging
Futures markets
Hedging efficiency
Asymmetric multivariate GARCH models.
Economía financiera
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
description We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro. Since there is not a futures market on the index, it is unclear whether a relatively successful hedge can be found. We explore the plausibility of employing futures on four stock market indices: EUROSTOXX 50, S&P500, BOVESPA, and IPC, and simulate the results that could be obtained by a hedge position based on either unconditional or conditional second order moments estimated from different asymmetric GARCH models. Several criteria for hedging effectiveness suggest that futures contracts on BOVESPA should be preferred, and that a salient reduction in risk can be achieved over the unhedged LATIBEX portfolio. The evidence in favor of a better performance of conditional moments is very clear, without significant differences among the alternative GARCH specifications.
publishDate 2021
dc.date.none.fl_str_mv 2021
2021-01-01
2021
2021-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/5013
url https://hdl.handle.net/20.500.14352/5013
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MPDI
publisher.none.fl_str_mv MPDI
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.198674

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