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 en
ISSN 1993-8233
期刊性質 國外
收錄於
產學合作
通訊作者 Chuang, Chung-chu
審稿制度 否
國別 NGA
公開徵稿
出版型式 ,電子版
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