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An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa
Bibliography: pages 209-219.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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College of Accounting
2016
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| _version_ | 1867613278136434688 |
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| access_status_str | Open Access |
| author | Levett, Peter |
| author2 | Page, Mike |
| author_browse | Levett, Peter Page, Mike |
| author_facet | Page, Mike Levett, Peter |
| author_sort | Levett, Peter |
| collection | Thesis |
| description | Bibliography: pages 209-219. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/17344 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:35.758Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | College of Accounting |
| publisherStr | College of Accounting |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/17344 An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa Levett, Peter Page, Mike Accounting Bibliography: pages 209-219. There has been much written on the ability of futures to reduce risk thereby hedging against potential market declines. However, the effect on return has been largely overlooked. This study investigates the risk and return effectiveness of hedging and hedging strategies using share index futures (SIF) market in South Africa. The empirical analysis is based on actual market data applied in terms of the most prominent hedging strategies, namely the traditional, minimum-variance, beta and Howard & D'Antonio (H&D) strategies. As hedging effectiveness is dependent on market efficiency, an analysis of the pricing efficiency of the South African market is performed with reference to the cost-of-carry valuation model and arbitrage pricing techniques. The results overwhelmingly indicate that the minimum-variance hedge strategy is the most optimal of the four strategies in terms of both risk and return. The beta hedge performed badly in terms of both risk and return (even worse than the naive traditional hedge strategy) and often led to overhedging. The beta strategy is not considered appropriate as an estimate of the minimum-variance hedge ratio in the South African situation because the futures price fluctuates significantly more than the spot index resulting in overstated hedge ratios. 2016-02-29T12:02:33Z 2016-02-29T12:02:33Z 1992 Master Thesis Masters MCom http://hdl.handle.net/11427/17344 eng application/pdf College of Accounting Faculty of Commerce University of Cape Town |
| spellingShingle | Accounting Levett, Peter An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa |
| thesis_degree_str | Master's |
| title | An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa |
| title_full | An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa |
| title_fullStr | An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa |
| title_full_unstemmed | An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa |
| title_short | An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa |
| title_sort | analysis into the hedging effectiveness and efficiency of the share index futures market in south africa |
| topic | Accounting |
| url | http://hdl.handle.net/11427/17344 |
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