Playing safe : the effectiveness of cross hedging Southeast Asian index futures to the Philippine Stock Exchange composite index
Date of Publication
Bachelor of Science in Management of Financial Institutions
Ramon V. Del Rosario College of Business
Financial Management Department
Defense Panel Member
Amat, Enrico R., adviser;"Lagdameo, Krisitine Mae F., panel chair";"Caoile, Patrick D., panel member";"Patiu, Liberty, department chair";"Umali, Mar Andriel, thesis coordinator"
Cross hedging is when an investigator hedges its position by taking another good with similar price movements and utilize it to offset its original position. The Philippines, having no active derivatives exchange, does not provide a lot of alternatives to minimize risks when investing, particulalrly in the Philippine Stock Exchange composite index (PSEi). The study analyzed the effectiveness of cross hedging Southeast Asian index fututres, namely: SET50 index futures, SiMSCI index futures, and FKLI to the Philippine Stock Exchange composite index using daily closing prices from January 5, 2015 to May 5, 2017. Models such as the OLS regression, VECM, and GARCH were used to estimate the cross hedging performance of the aforementioned index futures to the PSEi utilizing in-sample and out-sample excluding data of 76 days. The results of our study show that the index futures were not as effective tools in managing the risks associated with investing in the PSEi.
Archives, The Learning Commons, 12F Henry Sy Sr. Hall
109, 4 leaves : ilustrations ; 29 cm.
Stock exchanges -- Philippines
Andallo, L., Celis, Maricon Grace B.., Okuhara, Jeth Enrico P.., & Tumbaga, Erin Nadine C.. (2017). Playing safe : the effectiveness of cross hedging Southeast Asian index futures to the Philippine Stock Exchange composite index. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/9002