Hedge Ratios and Hedging Effectiveness of the SPI Futures Contract
In this paper two hedging models are studied in the context of the SPI futures. I analyze the hedge ratio and hedging effectiveness of the models relative to the naive hedging model. Firstly, I find that Working's (1953) strategy enhances the performance of hedging over the naive strategy. Secondly, based on risk reduction, the Variance Minimization model is found to be very useful. It performs better than the naive model. The hedging effectiveness of a longer hedge duration is found to be more...[Show more]
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