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Journal of Insurance and Financial Management, 2017
This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an alternative to econometric models (OLS, ECM, and GARCH) and assesses the efficacy of the model when applied to the IBEX 35 for the period 2007-2015. The model is initially formulated based on the efficient market hypothesis and an infinitesimal time horizon. When we relax these assumptions in the empirical analysis and apply the model to the real market with a daily time horizon, we obtain 98.75% efficacy of the hedge, superior to that of the econometric models. The time series of econometric models used to date for the calculation of the optimal hedging ratio do not include the effect of discrete dividend payouts and are based on a series of next-to-expire future prices that are subject to jumps in price, as it is composed of a chained series of futures with different maturities. Although the efficacy of econometric models can be considered satisfactory in general terms, their limitations can generate significant errors at some points in the series. The HAM model presented here as an alternative approach to econometrics models yields superior results, both in hedging efficacy and in the ease of application in professional portfolio management.
International Journal of Financial Markets and Derivatives , 2014
In this paper, we aim at the study of the contagion of the global financial crisis (2007–2009) on Moroccan stock market. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis. Following Forbes and Rigobon (2002), we define contagion as a positive shift in the degree of comovement between asset returns. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and US markets, respectively. To measure the degree of volatility comovement, time–varying correlation coefficients are estimated by flexible dynamic conditional correlation (DCC) multivariate GARCH model. We investigate empirical studies using the DCC–GARCH framework to test the contagion hypothesis from US and European markets to the Moroccan one.