Original Articles

Minimum variance hedge ratio analysis for the South African share index futures market: Duration and expiration effects

Published in: Investment Analysts Journal
Volume 23 , issue 40 , 1994 , pages: 9–25

DOI: 10.1080/10293523.1994.11082337

Author(s): N G Mohr Graduate School of Business, University of Stellenbosch, , E vd M Smit Graduate School of Business, University of Stellenbosch,

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Abstract

The minimum variance hedge ratio (HR*) and the classic or beta hedge ratio are commonly used decision rules in drawing up a hedging strategy. Research regarding the superiority between HR* and the beta hedge ratio that had been done on the US market has yielded mixed results.

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