An Empirical Study on the Hedging of KOSPI 200 Futures for the Risk Management of SRIECO Index Fund

Title
An Empirical Study on the Hedging of KOSPI 200 Futures for the Risk Management of SRIECO Index Fund
Other Titles
An Empirical Study on the Hedging of KOSPI 200 Futures for the Risk Management of SRIECO Index Fund
Author(s)
임병진
Keywords
SRIECO Index Fund; KOSPI 200 Futures; Ordinary Least Squares (OLS); Out-of-sample; In-sample; SRIECO Index Fund; KOSPI 200 Futures; Ordinary Least Squares (OLS); Out-of-sample; In-sample
Issue Date
201112
Publisher
한국로고스경영학회
Citation
로고스경영연구, v.9, no.3, pp.1 - 12
Abstract
This study investigates hedging ratios and hedging performance of KOSPI200 index futures against of the SRIECO Index Fund. For this purpose, we use the traditional minimum variance hedge model(OLS), VECM and the Bivariate GARCH (1,1) models. The sample period covers from February, 18 2010 to July, 13 2010 and we use the daily data. The hedge performance analysis was performed by out-of-sample and in-sample. The hedge ratio was estimated using traditional minimum variance hedge model, VECM and GARCH(1,1) with excepting data for 50 days 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 50 days. 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 research showed following main results. First, from basic statistic analysis, even both SRIECO Index Fund and KOSPI 200 futures price has unit roots. Second, there is at least one cointegration between them. Finally, hedging ratios and performance do not significantly differs hedging model. This study is helpful to risk managers dealing with KOSPI 200 futures.
URI
http://hdl.handle.net/YU.REPOSITORY/23992
ISSN
1598-8813
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경영대학 > 경영학과 > Articles
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