Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market

This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging r...

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Autores:
Gómez, Andrés
Gutiérrez, Astrid K.
Gutiérrez, Juan C.
Tipo de recurso:
Fecha de publicación:
2017
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/13113
Acceso en línea:
http://hdl.handle.net/10784/13113
Palabra clave:
G12
G17
C14
C18
Estimation of beta
Robust statistics MM (RMM)
Ordinary least squares (OLS)
Hedging ratio with stock MILA market index futures
Estimación de beta
Método robusto MM (RMM)
Método mínimos cuadrados ordinarios (MCO)
Cobertura con futuros sobre índices MILA
Rights
License
Acceso abierto
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spelling 2017-06-222018-11-09T18:17:55Z2017-06-222018-11-09T18:17:55Z2462-81071657-4206http://hdl.handle.net/10784/1311310.17230/ecos.2017.44.2This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging ratio using stock index futures. The results indicate that the estimates made by the RMM method provide a better fit and increase the efficiency of a hedging strategy when there are outliers in the estimation window of beta.El presente trabajo tiene por objeto estudiar el efecto que ejercen los datos atípicos en el parámetro beta de acciones pertenecientes al Mercado Integrado Latinoamericano (MILA), estimado por dos diferentes métodos: mínimos cuadrados ordinarios (MCO) y método robusto MM (RMM). Adicionalmente, para ilustrar la relevancia empírica de las betas calculadas, se efectuó una aplicación de cobertura con futuros sobre índices. Los resultados indican que las estimaciones realizadas por el método RMM, ofrecen un mejor ajuste y una mayor eficiencia de la cobertura cuando existe presencia de datos atípicos en la ventana de estimación de la beta.application/pdfspaUniversidad EAFIThttp://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/4412http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/4412Copyright (c) 2017 Juan Carlos Gutierrez Betancur, Astrid Katherine Gutiérrez Díaz, Andrés Gómez FernándezAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITEcos de Economía: A Latin American Journal of Applied Economics; Vol 21, No 44 (2017)Ecos de Economía: A Latin American Journal of Applied Economics; Vol 21, No 44 (2017)G12G17C14C18Estimation of betaRobust statistics MM (RMM)Ordinary least squares (OLS)Hedging ratio with stock MILA market index futuresEstimación de betaMétodo robusto MM (RMM)Método mínimos cuadrados ordinarios (MCO)Cobertura con futuros sobre índices MILARobust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American MarketEstimación robusta De betas y el ratio de cobertura sobre futuros de índices bursátiles en el Mercado Integrado Latinoamericano (MILA)info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionarticlepublishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Gómez, Andrésad84549f-d3f7-4090-86de-7daf1ba84770-1Gutiérrez, Astrid K.53849cec-7a59-401d-ad8f-2402811e38a8-1Gutiérrez, Juan C.a3e1a1c9-3919-4b63-a4e1-4b22df46ebc4-1Empresas Públicas de Medellín, ColombiaUniversidad EAFIT, Escuela de Economía y Finanzas, Departamento de Finanzas, Grupo de Investigación en Finanzas y Banca (GIFyB). ColombiaEcos de Economía: A Latin American Journal of Applied Economics21443771ecos.econ.THUMBNAILminaitura-ecos_Mesa de trabajo 1.jpgminaitura-ecos_Mesa de trabajo 1.jpgimage/jpeg251248https://repository.eafit.edu.co/bitstreams/e15ec4c5-7642-40dd-afe0-6b38e8987d75/download9b15d674b076c1793a0bc25cebb1bcefMD51ORIGINALdocument (60).pdfdocument (60).pdfTexto completo PDFapplication/pdf582803https://repository.eafit.edu.co/bitstreams/dce2acd1-d468-4e95-8515-2c9896fecbc9/download8ad6ac4fcbcdf2eef3d201f205e92cc6MD52articulo.htmlarticulo.htmlTexto completo HTMLtext/html377https://repository.eafit.edu.co/bitstreams/74e21e98-6f1c-446b-94a6-fae2d87853f6/download68f45fce647033d4bc92f21c6f3edc9eMD5310784/13113oai:repository.eafit.edu.co:10784/131132024-12-04 11:47:24.294open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
dc.title.spa.fl_str_mv Estimación robusta De betas y el ratio de cobertura sobre futuros de índices bursátiles en el Mercado Integrado Latinoamericano (MILA)
title Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
spellingShingle Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
G12
G17
C14
C18
Estimation of beta
Robust statistics MM (RMM)
Ordinary least squares (OLS)
Hedging ratio with stock MILA market index futures
Estimación de beta
Método robusto MM (RMM)
Método mínimos cuadrados ordinarios (MCO)
Cobertura con futuros sobre índices MILA
title_short Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
title_full Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
title_fullStr Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
title_full_unstemmed Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
title_sort Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
dc.creator.fl_str_mv Gómez, Andrés
Gutiérrez, Astrid K.
Gutiérrez, Juan C.
dc.contributor.author.spa.fl_str_mv Gómez, Andrés
Gutiérrez, Astrid K.
Gutiérrez, Juan C.
dc.contributor.affiliation.spa.fl_str_mv Empresas Públicas de Medellín, Colombia
Universidad EAFIT, Escuela de Economía y Finanzas, Departamento de Finanzas, Grupo de Investigación en Finanzas y Banca (GIFyB). Colombia
dc.subject.none.fl_str_mv G12
G17
C14
C18
topic G12
G17
C14
C18
Estimation of beta
Robust statistics MM (RMM)
Ordinary least squares (OLS)
Hedging ratio with stock MILA market index futures
Estimación de beta
Método robusto MM (RMM)
Método mínimos cuadrados ordinarios (MCO)
Cobertura con futuros sobre índices MILA
dc.subject.keyword.eng.fl_str_mv Estimation of beta
Robust statistics MM (RMM)
Ordinary least squares (OLS)
Hedging ratio with stock MILA market index futures
dc.subject.keyword.spa.fl_str_mv Estimación de beta
Método robusto MM (RMM)
Método mínimos cuadrados ordinarios (MCO)
Cobertura con futuros sobre índices MILA
description This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging ratio using stock index futures. The results indicate that the estimates made by the RMM method provide a better fit and increase the efficiency of a hedging strategy when there are outliers in the estimation window of beta.
publishDate 2017
dc.date.issued.none.fl_str_mv 2017-06-22
dc.date.available.none.fl_str_mv 2018-11-09T18:17:55Z
dc.date.accessioned.none.fl_str_mv 2018-11-09T18:17:55Z
dc.date.none.fl_str_mv 2017-06-22
dc.type.eng.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
article
publishedVersion
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http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 2462-8107
1657-4206
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/13113
dc.identifier.doi.none.fl_str_mv 10.17230/ecos.2017.44.2
identifier_str_mv 2462-8107
1657-4206
10.17230/ecos.2017.44.2
url http://hdl.handle.net/10784/13113
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.isversionof.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/4412
dc.relation.uri.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/4412
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv instname:Universidad EAFIT
reponame:Repositorio Institucional Universidad EAFIT
dc.source.eng.fl_str_mv Ecos de Economía: A Latin American Journal of Applied Economics; Vol 21, No 44 (2017)
dc.source.spa.fl_str_mv Ecos de Economía: A Latin American Journal of Applied Economics; Vol 21, No 44 (2017)
instname_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio Institucional Universidad EAFIT
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