Single and Multiple Portfolio Cross-Hedging with Currency Futures

Abstract

Earlier versions of the article were presented at the 1995 annual conference of the Multinational Finance Society in Philadelphia and at the 1994 annual meeting of the Financial Management Association in St. Louis. I thank the session participants, two anonymous reviewers of the Journal and the editor in charge of the manuscript for helpful comments and Villanova University for financial support. Any errors remaining are my responsibility.

The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts

“…7 Cheung, Kwan and Yip Hedging Effectiveness, Extended Mean Gini Jennings (1987), Malliaris and Urrutia (1991), Lindahl (1992), Holmes (1996) and Butterworth and Holmes (2000). In addition, the MV approach has been used to examine hedging effectiveness for other asset types such as currency futures (see, for example, Malliaris and Urrutia [1991] and Demaskey [1997]). The mean-variance framework has also been employed to investigate international home bias in the presence of foreign exchange hedging (see Gorman and Jorgensen [2002]) and the construction of optimal portfolios of real assets (including stock indexes) and currency futures used to hedge exchange rate risk (see Adcock [2003]).…”