An Empirical Study on the Cross Hedging of KOSPI 200 Futures in National Pension Fund of Investing TSEC to Risk Management

Title
An Empirical Study on the Cross Hedging of KOSPI 200 Futures in National Pension Fund of Investing TSEC to Risk Management
Other Titles
An Empirical Study on the Cross Hedging of KOSPI 200 Futures in National Pension Fund of Investing TSEC to Risk Management
Author(s)
임병진
Keywords
Cross Hedging Performance; KOSPI 200 Futures; Ordinary Least Squares (OLS); Out-of-sample; In-sample; Cross Hedging Performance; KOSPI 200 Futures; Ordinary Least Squares (OLS); Out-of-sample; In-sample
Issue Date
201012
Publisher
한국로고스경영학회
Citation
로고스경영연구, v.8, no.3, pp.193 - 204
Abstract
This paper examines cross hedging performance in KOSPI 200 futures market of national pension fund of investing TSEC to risk management. The study examines the interdependence of KOSPI 200 Futures and TSEC for 160 trading months from July 1997 to Octorber 2010 for risk management in National Pension Fund of Investing TSEC. In this paper the study analyze the hedge performance of KOSPI 200 Futures and TSEC for risk management in National Pension Fund of Investing TSEC. The analysis employs Unit Root tests, co-integration test, and the traditional minimum variance hedge model (Ordinary Least Squares, OLS) Model of Regression Analysis) using weekly returns on TSEC and KOSPI 200 Futures. The hedge performance analysis was performed by out-of-sample and in-sample. The hedge ratio was estimated using minimum variance hedge model with excepting data for 10 months in order to analyze the hedge performance using out-of-sample. With the parameter obtained in estimation of the model, hedge performance was measured and analyzed using data for 10 months. Measurement of hedge performance in this study is the decrease rate that subtracted one from the ratio of hedged portfolio variance to unhedged portfolio variance. This study is helpful to risk managers dealing with KOSPI 200 futures.
URI
http://hdl.handle.net/YU.REPOSITORY/23135
ISSN
1598-8813
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경영대학 > 경영학과 > Articles
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