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dc.contributor.authorHatemi-J, Abdulnasser
dc.contributor.authorRoca, Eduardo
dc.date.accessioned2017-05-03T11:42:16Z
dc.date.available2017-05-03T11:42:16Z
dc.date.issued2014
dc.date.modified2014-09-04T04:24:34Z
dc.identifier.issn0003-6846
dc.identifier.doi10.1080/00036846.2013.854303
dc.identifier.urihttp://hdl.handle.net/10072/62681
dc.description.abstractWe propose a new approach in the estimation of the optimal hedge ratio that allows the hedge ratio to vary over time but without the necessity of frequently rebalancing the portfolio. We apply this in the context of the US and UK equity markets using weekly spot share prices and future share prices during the period January 5, 1999 to September 29, 2009. Our method is to test for cointegration in the presence of two potentially unknown structural breaks by determining the timing of each via the underlying data. The empirical findings reveal that the spot and future prices are strongly cointegrated in each market. The estimated parameters disclose that the optimal hedge ratio is not constant in case of the US and the UK. We find one negative and one positive shift in the optimal hedge ratio in the US. However, we find only one significant and positive shift in the optimal hedge ratio in the UK. The implication of these findings from the perspective of both investors as well as policy makers is elaborated on in the main text.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.publisherRoutledge
dc.publisher.placeUnited Kingdom
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom790
dc.relation.ispartofpageto795
dc.relation.ispartofissue8
dc.relation.ispartofjournalApplied Economics
dc.relation.ispartofvolume46
dc.rights.retentionY
dc.subject.fieldofresearchInvestment and Risk Management
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchcode150205
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.subject.fieldofresearchcode1403
dc.titleEstimating the Optimal Hedge Ratio in the Presence of Potential Unknown Structural Breaks
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionPost-print
gro.rights.copyright© 2014 Taylor & Francis (Routledge). This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 21 Jan 2014, available online: http://www.tandfonline.com/doi/abs/10.1080/00036846.2013.854303
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.


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