Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model
學年 107
學期 1
出版（發表）日期 2018-11-29
作品名稱 Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model
作品名稱（其他語言）
著者 Chung-Chu Chuang; Yi-Hsien Wang; Tsai-Jung Yeh
單位
出版者
著錄名稱、卷期、頁數 Emerging Markets Finance & Trade, 56:508–526
摘要 The higher moments of hedged portfolio returns often influence the calculation of value-atrisk (VaR). To establish future short and long hedged portfolios, this study proposes a new modified VaR model, an expected utility maximization (EUM) subject to the modified VaR of higher moments (EUMMVaR) of stock index futures in markets in greater China. EUM-MVaR has the greatest hedging effectiveness in determining hedged portfolios, while the minimum variance (MV) model had the least hedging effectiveness; the consideration of higher moments of a hedged portfolio return is more effective than non-consideration in determining the hedging effectiveness.
關鍵字 EUM-MVaR model;hedging effectiveness;multivariate skewed t distribution;multivariate
語言 en
ISSN 1558-0938
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Yi-Hsien Wang
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117127 )

SDGS 消除貧窮,優質教育