EnglishThe interactions between the Mib30 stock market index and its future contract are examined. Using daily data for the 1994–2002 period, it is found that the cost-of-carry model holds as an equilibrium relationship between spot and futures prices. Deviations from equilibrium are corrected by movements in the spot market, but cross-market dynamics are also important in the short run. We model the time varying volatility of daily returns’ as an autoregressive conditional heteroscedastic process; this model used to estimate minimum-variance hedge ratios. In- and out-ofsample comparisons with static hedging show that, by carefully choosing the ARCH specification, a significant improvement in variance reduction can be achieved.
The Mib30 index and futures relationship: econometric analysis and implications for hedging / Pattarin, Francesco; Ferretti, Riccardo. - In: APPLIED FINANCIAL ECONOMICS. - ISSN 0960-3107. - STAMPA. - 14(2004), pp. 1281-1289. [10.1080/09603100412331313578]
| Data di pubblicazione: | 2004 | |
| Titolo: | The Mib30 index and futures relationship: econometric analysis and implications for hedging | |
| Autore/i: | Pattarin, Francesco; Ferretti, Riccardo | |
| Autore/i UNIMORE: | ||
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/09603100412331313578 | |
| Rivista: | ||
| Volume: | 14 | |
| Pagina iniziale: | 1281 | |
| Pagina finale: | 1289 | |
| Codice identificativo Scopus: | 2-s2.0-10244250374 | |
| Citazione: | The Mib30 index and futures relationship: econometric analysis and implications for hedging / Pattarin, Francesco; Ferretti, Riccardo. - In: APPLIED FINANCIAL ECONOMICS. - ISSN 0960-3107. - STAMPA. - 14(2004), pp. 1281-1289. [10.1080/09603100412331313578] | |
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