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:The optimal dynamic hedging strategy for Nikkei 225 index and futures
學年93
學期1
出版(發表)日期2005/01/01
作品名稱The optimal dynamic hedging strategy for Nikkei 225 index and futures
作品名稱(其他語言)
著者Chen, Chun-da; Lee, Ming-chih; Chiou, Jer-shiou
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(3), pp.477-491
摘要In this study we investigate the hedging effectiveness on the Nikkei 225 index within Osaka and Singapore Nikkei 225 Futures. The results show that the bivariate GARCH-CI model generates better hedging performances than the other models do, no matter what futures we use. Under these four models (bivariate GARCH-CI, ECM, VAR, and Kalman filter), a longer holding period generates a better hedging effectiveness. Moreover, the Osaka Nikkei 225 Futures provide better hedging performance than Singapore Nikkei 225 Futures do. We therefore conclude that investors employing Osaka Nikkei 225 Futures with a longer holding period to hedge spot risks can achieve the best hedging performance under the bivariate GARCH-CI model. These results are very helpful to investors who invest in Japan’s stock markets.
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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