| dc.contributor | 財務管理學系 | |
| dc.creator (作者) | Chen, L.;Tu, Anthony H.;Zeng, Y. | |
| dc.creator (作者) | 杜化宇 | zh_TW |
| dc.date (日期) | 2011-11 | |
| dc.date.accessioned | 18-May-2015 17:35:50 (UTC+8) | - |
| dc.date.available | 18-May-2015 17:35:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-May-2015 17:35:50 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/75178 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 176 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | International Research Journal of Finance and Economics, 76, 148-157 | |
| dc.subject (關鍵詞) | Futures; GMM method; Hedge ratio; Identification through heteroskedasticity | |
| dc.title (題名) | Testing for the feedback effect in the regression hedge ratio | |
| dc.type (資料類型) | article | en |
