Porównanie strategii zabezpieczających portfel akcji z wykorzystaniem kontraktów futures na WIG20 w okresach spadków i wzrostów cen
Comparison of hedging using futures on WIG20 in periods of price increases and decreases

Summary/Abstract: The purpose of this article is to compare the results of hedging using futures contracts when the prices of stock go down and grow. The analysis was preceded by identifying periods of declines and increases, and the construction of investment portfolios. The study was based on data of index WIG20 and futures on WIG20 in the period from 01.02.2008 to 19.08.2013. There was positively verified the hypothesis that hedging using futures in the period of falling prices differs from losses of the portfolio in the period of growing prices and regardless of the direction of changes of spot market there is reduction of risk portfolio. The verification of the hypothesis was based on the results of short hedge for the seven periods of decline and seven periods of price increases.

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