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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/75178


    Title: Testing for the feedback effect in the regression hedge ratio
    Authors: Chen, L.;Tu, Anthony H.;Zeng, Y.
    杜化宇
    Contributors: 財務管理學系
    Keywords: Futures;GMM method;Hedge ratio;Identification through heteroskedasticity
    Date: 2011-11
    Issue Date: 2015-05-18 17:35:50 (UTC+8)
    Abstract: The conventional regression hedge ratio can be estimated as the slope coefficient in a regression of the change of spot prices (dependent variable) on the change of futures prices (independent variable). The conventional regression hedge ratio and hedge effectiveness are biased in the presence of feedback effect of a change in the spot prices on the change of futures prices. The feedback effect was always assumed to be absent, though it has not been formally tested in previous studies. In this paper, we present a formal test for the presence of feedback effect in the regression hedge ratio. We employ a structuralform VAR model with GMM methodology and a technique called "identification through heteroscedasticity." Empirical evidence shows that the feedback effects are present in at least 18 of 28 commonly-used futures contracts. © EuroJournals Publishing, Inc. 2011.
    Relation: International Research Journal of Finance and Economics, 76, 148-157
    Data Type: article
    Appears in Collections:[Department of Finance] Periodical Articles

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