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Hedging investors’ exposure to the Greek banking system with index futures

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Hedging investors’ exposure to the Greek banking system with index futures (EN)
Tsavdaris, Sofoklis (EN)
Prof. Alexakis, Christos (EN)
Alexakis, Christos (EN)
Kosmidou, Kyriaki (EN)
Artikis, Panagiotis (EN)
masterThesis
2015-06-10
2015-09-27T05:57:01Z
2013
2015-06-10T11:25:48Z
In this dissertation we study the effectiveness of a hedging strategy with futures. We consider the case of a risk-averse investor that maintains a long position on a weighted portfolio of bank stocks and we use index futures as a hedging instrument. Our main focus is on the period of extreme financial crisis for the Greek stock market that highly affected the Banking sector. Results to a static minimum-variance hedging approach reveal that a hedging portfolio with index futures can eliminate the 80% of the total variation of the banking exposure. The simple hedging strategy almost always outperforms the cumulative returns of a buy-and-hold strategy on the banking index. Only at the last several months of our sample the effectiveness of the hedge is slightly decreased, but this is due to the higher basis risk that was caused by the declines in the correlations between the banking sector and the market returns. (EN)
English
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
School of Economics and Business Administration, Msc in Banking and Finance (EN)
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International Hellenic University
Institutional Repository of the International Hellenic University
University Center of International Programmes of Studies (UCIPS)
Master Theses



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