An Empirical Study Concerning the Risk Management of Listed Stock Investment of Shenzhen Stock Exchange: Based on CSI 300 Stock‐index Futures

Title
An Empirical Study Concerning the Risk Management of Listed Stock Investment of Shenzhen Stock Exchange: Based on CSI 300 Stock‐index Futures
Other Titles
An Empirical Study Concerning the Risk Management of Listed Stock Investment of Shenzhen Stock Exchange: Based on CSI 300 Stock‐index Futures
Author(s)
임병진진용연
Keywords
Shenzhen Index; CSI 300 Futures; Ordinary Least Squares (OLS); Out-of-sample; In-sample; Shenzhen Index; CSI 300 Futures; Ordinary Least Squares (OLS); Out-of-sample; In-sample
Issue Date
201209
Publisher
한국로고스경영학회
Citation
로고스경영연구, v.10, no.3, pp.35 - 46
Abstract
With the daily sample period covers from April, 16 2010 to September,23 2011, we investigate hedging ratios and hedging performance of the Shenzhen Index and CSI 300 Futures. Different econometric models, including the traditional minimum variance hedge model(OLS), VECM and the Bivariate GARCH (1,1) models, are used to estimate the optimal hedging ratios of the Shenzhen Index and CSI 300 Futures in this study. Both in‐sample and out of sample hedging performances using daily data of 53 days are examined, considering both constant and time varying hedge ratios. Results indicate that from basic statistic analysis, the existence of unit roots has been found both in theShenzhen Index and CSI 300 Futures. Moreover, there is at least one co‐integration between them. Finally, no significantly differ exists in hedging ratios and performance calculated byseveral models respectively.
URI
http://hdl.handle.net/YU.REPOSITORY/27217
ISSN
1598-8813
Appears in Collections:
경영대학 > 경영학과 > Articles
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