國立虎尾科技大學 |

Quantitative Analysis of Hedge Efficiency of Currency Exchange Traded Funds: Return Variance and Utility.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Quantitative Analysis of Hedge Efficiency of Currency Exchange Traded Funds: Return Variance and Utility./
Author:	Stugk, Anke.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	109 p.
Notes:	Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
Contained By:	Dissertation Abstracts International79-12A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10846337
ISBN:	9780438282179

Quantitative Analysis of Hedge Efficiency of Currency Exchange Traded Funds: Return Variance and Utility.
Stugk, Anke.

Quantitative Analysis of Hedge Efficiency of Currency Exchange Traded Funds: Return Variance and Utility. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 109 p.

Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.

Thesis (Ph.D.)--Northcentral University, 2018.

This study focused on hedge efficiency of currency exchange traded funds when utilized as hedging tools for short-term currency exchange risk. The problem stated in this study was to address a literature gap pertaining to the hedge efficiency of currency exchange traded funds. Efficiency was measured as variance reduction of returns and utility gain. The hedge ratio was calculated utilizing the ordinary least square method and efficiency by repeated measure ANOVA and paired sample t-test of returns of unhedged and hedged Euro and British Pound portfolios. The selected hedge instruments were the FXE, ERO, EUFX, FXB, GBB, and EUFS. Hedge ratios were calculated utilizing daily change in currency spot prices and ETF/ETN closing prices for ninety days prior to the hedge. Hedge horizons were seven, thirty, ninety, and one-hundred-and-eighty days from January 1, 2010 to December 31, 2017. The implementation of currency ETFs and ETNs did lead to a reduction in variance and losses, but the findings were statistically not significant. Utility of hedged portfolios were also increased, but the difference was statistically insignificant as well. However, it was identified the daily trading volume could impact the hedge efficiency of ETFs, where lower daily trading volume could increase efficiency in the short-term. These findings could be implemented by financial professionals in portfolio management and client advising. This study, also, forms the foundation for future research on hedge efficiency of new securities and new markets, for example cryptocurrency securities.

ISBN: 9780438282179Subjects--Topical Terms:

559073
Finance.

Quantitative Analysis of Hedge Efficiency of Currency Exchange Traded Funds: Return Variance and Utility.
LDR:02544nam a2200289 4500 001 931694
005 20190716101636.5
008 190815s2018 ||||||||||||||||| ||eng d
020 $a 9780438282179
035 $a (MiAaPQ)AAI10846337
035 $a (MiAaPQ)northcentral:13204
035 $a AAI10846337
040 $a MiAaPQ $c MiAaPQ
100 1 $a Stugk, Anke. $3 1213903
245 1 0 $a Quantitative Analysis of Hedge Efficiency of Currency Exchange Traded Funds: Return Variance and Utility.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2018
300 $a 109 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
500 $a Adviser: Gary S. White.
502 $a Thesis (Ph.D.)--Northcentral University, 2018.
520 $a This study focused on hedge efficiency of currency exchange traded funds when utilized as hedging tools for short-term currency exchange risk. The problem stated in this study was to address a literature gap pertaining to the hedge efficiency of currency exchange traded funds. Efficiency was measured as variance reduction of returns and utility gain. The hedge ratio was calculated utilizing the ordinary least square method and efficiency by repeated measure ANOVA and paired sample t-test of returns of unhedged and hedged Euro and British Pound portfolios. The selected hedge instruments were the FXE, ERO, EUFX, FXB, GBB, and EUFS. Hedge ratios were calculated utilizing daily change in currency spot prices and ETF/ETN closing prices for ninety days prior to the hedge. Hedge horizons were seven, thirty, ninety, and one-hundred-and-eighty days from January 1, 2010 to December 31, 2017. The implementation of currency ETFs and ETNs did lead to a reduction in variance and losses, but the findings were statistically not significant. Utility of hedged portfolios were also increased, but the difference was statistically insignificant as well. However, it was identified the daily trading volume could impact the hedge efficiency of ETFs, where lower daily trading volume could increase efficiency in the short-term. These findings could be implemented by financial professionals in portfolio management and client advising. This study, also, forms the foundation for future research on hedge efficiency of new securities and new markets, for example cryptocurrency securities.
590 $a School code: 1443.
650 4 $a Finance. $3 559073
690 $a 0508
710 2 $a Northcentral University. $b School of Business and Technology Management. $3 1180957
773 0 $t Dissertation Abstracts International $g 79-12A(E).
790 $a 1443
791 $a Ph.D.
792 $a 2018
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10846337