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Title: Futures contracts as hedges on equity investments
Authors: Zachariou, Anastasios
Ζαχαρίου, Αναστάσιος
Keywords: Futures
Equity indices
Commodity futures
Nikkei 250
Shanghai stock exchange
WTI futures
GCS futures
Gold futures
Oil futures
Issue Date: 2019
Publisher: Πανεπιστήμιο Μακεδονίας
Abstract: In this work we try to identify, assess and evaluate the hedging performance of derivative contracts on equity portfolios that are available in the financial markets. We specifically focus on the use of future contracts, such as gold and oil futures, as hedgers on equity indices. We first present in brief theory and basics of equity investments and financial derivatives. We further focus on the concept of hedging and the uses and characteristics of future contracts. The thesis continues with a literature review on how the optimal hedge ratio is defined and how it can be estimated with the implementation of econometric models. We then employ multivariate GARCH BEKK models in order to estimate the dynamic conditional variance of the assets returns and evaluate the performance of their hedge ratios. Finally, we discuss the results and conclude with investment proposals.
Description: Πτυχιακή εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2019.
Rights: Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Appears in Collections:Τμήμα Οικονομικών Επιστημών (Π)

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