Please use this identifier to cite or link to this item: https://doi.org/10.1016/S1042-444X(02)00020-8
Title: Hedging with foreign currency denominated stock index futures: Evidence from the MSCI Taiwan index futures market
Authors: Wang, C. 
Low, S.S.
Keywords: GARCH model
Hedging
Market interdependence
Stock index futres
Issue Date: 2003
Source: Wang, C.,Low, S.S. (2003). Hedging with foreign currency denominated stock index futures: Evidence from the MSCI Taiwan index futures market. Journal of Multinational Financial Management 13 (1) : 1-17. ScholarBank@NUS Repository. https://doi.org/10.1016/S1042-444X(02)00020-8
Abstract: To hedge with foreign currency denominated stock index futures, the interdependence of equity, futures, and foreign exchange markets is important in formulating hedging strategies. This also results in divergent optimal hedging strategies for international and domestic investors. We derive and compare optimal hedging strategies for the two types of investors. Evidence from the MSCI Taiwan index futures traded on the SGX shows that both types of investors gain from hedging with the futures contract, while international investors tend to benefit more than domestic investors. This result is robust to various commonly used hedging techniques and sample periods. Moreover, both in-sample and out-of-sample results indicate that a GARCH error-correction model persistently outperforms other hedging techniques. © 2002 Published by Elsevier Science B.V.
Source Title: Journal of Multinational Financial Management
URI: http://scholarbank.nus.edu.sg/handle/10635/44527
ISSN: 1042444X
DOI: 10.1016/S1042-444X(02)00020-8
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