教師資料查詢 | 類別: 期刊論文 | 教師: 李命志 LEE, MING-CHIH (瀏覽個人網頁)

標題:Hedging with S&;P500 and E-mini S&;P500 stock index futures
學年93
學期2
出版(發表)日期2005/07/01
作品名稱Hedging with S&;P500 and E-mini S&;P500 stock index futures
作品名稱(其他語言)
著者Lee, Ming-chih; Chiou, Jer-shiou; Wu, Pei-shan; Chen, Chun-da
單位淡江大學財務金融學系
出版者New Delhi: TARU Publications
著錄名稱、卷期、頁數Journal of Statistics &; Management Systems 8(2), pp.275-294
摘要In this study we explore the differences in hedging effectiveness between S&P500 and E-mini S&P500 futures contracts. We utilize VAR (vector autoregressive model), ECM (error correction model), bivariate GARCH, and Kalman filter to minimize the risks of spots and futures and obtain the optimal hedge ratio. A dynamic mechanism has been considered in making comparisons of the hedge effect among models and in determining the optimal hedge strategy. The results show that both S&P500 and E-mini S&P500 futures reduce the risks of holding spot positions, and regardless of the time span in hedging, S&P500 index futures can do better than E-mini S&P500 in terms of hedging effectiveness. The means of transaction indeed affect the hedging effectiveness, with high electronic transaction costs and high sensitivity of institutional investors seeming to be the reasons. As the time span in hedging is extended, the correlation coefficient between the spot market and futures increases and the hedge effectiveness increases as well. For both the means and different time span, the GARCH model shows its superiority in HEI performance as it captures the short-run dynamic effect and reflects the short-run fluctuations.
關鍵字
語言英文
ISSN0972-0510
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別印度
公開徵稿
出版型式紙本
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