教師資料查詢 | 類別: 期刊論文 | 教師: 莊忠柱 Chung-chu Chuang (瀏覽個人網頁)

標題:Asymmetric Dynamic Hedging Effectiveness: Evidence from Taiwan Stock Index Futures
學年101
學期1
出版(發表)日期2012/08/01
作品名稱Asymmetric Dynamic Hedging Effectiveness: Evidence from Taiwan Stock Index Futures
作品名稱(其他語言)
著者Chuang, Chung-chu; Wang, Yi-hsien; Yeh, Tsai-jung; Chuang, Shuo-li
單位淡江大學管理科學學系
出版者Academic Journals
著錄名稱、卷期、頁數African Journal of Business Management 6(34), pp.9671-9680
摘要This study examines the asymmetric dynamic hedging effectiveness the Taiwan stock index futures byextending the concepts of naive hedging effectiveness and dynamic hedging effectiveness proposed byChoudhry (2003). Based on the minimum-variance hedging portfolio, static hedging models anddynamic hedging models are also compared in terms of hedging effectiveness, dynamic hedgingeffectiveness, hedging effectiveness of dynamic conditional correlation and asymmetric dynamichedging effectiveness. Experimental results indicate that, there is an asymmetric dynamic hedgingeffectiveness in the Taiwan stock index futures asymmetric dynamic hedging. Additionally, hedgingeffectiveness of the dynamic conditional correlation hedging model is better than that of the conditionalcorrelation hedging model. We thus recommend that investors consider the asymmetric dynamichedging model when constructing the minimum-variance hedging portfolio.
關鍵字Futures; hedging; hedging effectiveness; asymmetric dynamic hedging effectiveness
語言英文
ISSN1993-8233
期刊性質國外
收錄於
產學合作
通訊作者Chuang, Chung-chu
審稿制度
國別奈及利亞
公開徵稿
出版型式,電子版
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!