Degiannakis, Stavros; Floros, Christos - In: Journal of Emerging Market Finance 9 (2010) 3, pp. 285-304
This article examines hedging in South African stock index futures market. The hedge ratios are estimated by six econometric techniques: the standard OLS regression, simple and vector error correction models, the ECM with generalised autoregressive heteroskedasticity (GARCH), as well as...