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 en
ISSN 0972-0510
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 IND
公開徵稿
出版型式 紙本
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