Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5085420 | International Review of Financial Analysis | 2007 | 8 Pages |
Abstract
This paper examines the mean and the variance of post-sample hedging effectiveness. It is shown that, the hedging effectiveness measure adopted in the current literature is a biased estimator of the true hedging effectiveness. Moreover, it underestimates the true hedging effectiveness. Empirical results base upon twenty-four futures markets for the error correction hedge ratio, however, suggest the bias is negligible. On the other hand, in some markets, the variance of the hedging effectiveness is too large for the estimate to be reliable.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Donald Lien,