CSI 300 주가지수선물을 이용한 상해주식시장의 상업스타일펀드의 투자 위험관리에 관한 실증적 연구
- CSI 300 주가지수선물을 이용한 상해주식시장의 상업스타일펀드의 투자 위험관리에 관한 실증적 연구
- Other Titles
- An Empirical Study on the Hedging of CSI 300 Index Futures for the Risk Management of the Commerce Style Fund Investment of Shanghai Stock Exchange
- 임병진; 진용연
- 스타일 펀드; CSI 300주가지수선물; OLS; VECM; GARCH(1; 1); 내표본; 외표본; the Commerce Style Fund; CSI 300 Futures; Ordinary Least Squares (OLS); VECM; GARCH (1; 1); Out‐of‐sample; In‐sample
- Issue Date
- 로고스경영연구, v.11, no.3, pp.93 - 110
- This paper examines the hedging of CSI 300 index futures for the risk management of fund investment in China stock market. The data used in the analysis covered the period of one and a half year, from April 16, 2010 to September 23, 2011, comprising 353 observations. Two models (OLS and VECM) are used to estimate constant hedge ratio. To estimate dynamic hedge raito, we use GARCH (1, 1) model.
In‐sample and out‐of‐the‐sample analysis were employed in this paper. The estimation period of in‐sample is the whole period while the estimation period of out‐of‐the‐sample is the period from the start to 343rd observations. That is, hedge performance was measured and analyzed by using the last 10 observations.
According to the results of hedging effectiveness analysis, we can address the following conclusions : First, the ADF and PP unit root test values of their first difference sequences are stationary at 1% level. Second, the results of cointegration test suggest that there is a long term relationship between CSI 300 index futures and Commerce Style Fund. Third, hedge ratios estimated by VECM model are more efficient in reducing the risk of Commerce Style Fund Index. Finally, there are no significantly differ in hedging performance calculated by several models.
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