Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index

We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, index of only international market exclusively Latin American firms that is denominated by euro. Since there not a futures index, it unclear whether relatively successful hedge can be found. explore plausibility employing four stock indices: EUROSTOXX 50, S&P500, BOVESPA, and IPC, simulate results could obtained position based either unconditional or conditional second order moments estimated from different asymmetric GARCH models. Several criteria effectiveness suggest contracts BOVESPA should preferred, salient reduction in risk achieved over unhedged portfolio. The evidence favor better performance very clear, without significant differences among specifications.