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논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2013.5
- 수록면
- 15 - 26 (12page)
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This study investigates hedging ratios and hedging performance of CSI 300 index futures against of the Commerce Style Fund Investment of Shanghai Stock Exchange. For this purpose, we use the traditional minimum variance hedge model(OLS), VECM and the Bivariate GARCH (1,1) models. The sample period covers from April 16, 2010 to September 23, 2011 and we use the daily data.
The hedge performance analysis was performed by out-of-sample and in-sample. The hedge ratio was estimated using traditional minimum variance hedge model, VECM and GARCH(1,1) with excepting data for 50 days in order to analyze the hedge performance using out-of-sample. With the parameter obtained in estimation of the model, hedge performance was measured and analyzed using data for 50 days. Measurement of hedge performance in this study is the decrease rate that subtracted one from the ratio of hedged portfolio variance to unhedged portfolio variance.
This research showed following main results. First, from basic statistic analysis, even both the Commerce Style Fund and CSI 300 futures price has unit roots. Second, there is at least one cointegration between them. Finally, hedging ratios and performance do not significantly differs hedging model. This study is helpful to risk managers dealing with CSI 300 futures and the Commerce Style Fund Investment of Shanghai Stock Exchange.
The hedge performance analysis was performed by out-of-sample and in-sample. The hedge ratio was estimated using traditional minimum variance hedge model, VECM and GARCH(1,1) with excepting data for 50 days in order to analyze the hedge performance using out-of-sample. With the parameter obtained in estimation of the model, hedge performance was measured and analyzed using data for 50 days. Measurement of hedge performance in this study is the decrease rate that subtracted one from the ratio of hedged portfolio variance to unhedged portfolio variance.
This research showed following main results. First, from basic statistic analysis, even both the Commerce Style Fund and CSI 300 futures price has unit roots. Second, there is at least one cointegration between them. Finally, hedging ratios and performance do not significantly differs hedging model. This study is helpful to risk managers dealing with CSI 300 futures and the Commerce Style Fund Investment of Shanghai Stock Exchange.
목차
ABSTRACT
Ⅰ. Introduction
Ⅱ. Data and Descriptive Statistics
Ⅲ. Methodology
Ⅳ. Empirical Results
Ⅴ. Conclusions
References
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