Resumen

JESUS GUTIERREZ, Raúl de; BUCIO PACHECO, Christian  y  CARVAJAL GUTIERREZ, Lidia. Hedging Ratios with Futures on Brazil and Mexico Stock Exchange Indexes. Investig. adm. [online]. 2021, vol.50, n.128, 12806.  Epub 23-Ago-2021. ISSN 2448-7678.  https://doi.org/10.35426/iav50n128.06.

This research aims to introduce the Bayessian VAR model to estimate minimum variance dynamic hedging ratios. The method evaluates the effectiveness of hedging strategies using data from Brazil and Mexico stock and futures markets. The findings show that the Bayesian VAR model has the best out-of-sample performance to minimize the variance of the hedging portfolio in most time horizons. The originality of the paper is attributed to the fact that the Bayessian VAR model has not been applied in the design of hedging strategies in developed and emerging stock markets, particularly Brazil and Mexico. Among the limitations, the hedging effectiveness can become unstable over different time horizons due to the effect of the sample size reduction.

Palabras llave : Brazilian stock exchange; Mexican stock exchange; Futures markets; Dynamic hedging ratios; Bayesian VAR model; C58; G13; G15.

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