KOSPI200 주가지수선물을 이용한 NYSE 시장포트폴리오의 교차헤지에 관한 실증적 연구

Title
KOSPI200 주가지수선물을 이용한 NYSE 시장포트폴리오의 교차헤지에 관한 실증적 연구
Other Titles
An Empirical Study on Cross Hedging Performance of KOSPI200 Stock Index Futures against NYSE Market Portfolio
Author(s)
임병진조영석[조영석]
Keywords
NYSE market portfolio; KOSPI200 stock index futures; Ordinary Least Squares (OLS); VECM; GARCH (1; 1); Out-of-sample; In-sample; NYSE 시장포트폴리오; KOSPI200 주가지수선물; 회귀분석 (OLS); VECM; 외표본; 내표본; GARCH (1; 1)
Issue Date
201509
Publisher
한국로고스경영학회
Citation
로고스경영연구, v.13, no.3, pp.1 - 16
Abstract
This study investigates the risk management of investing the NYSE market Portfolio in USA employing KOSPI200 stock index futures during January 5, 2008 to March 27, 2015. Accordingly, we calculate cross hedging ratios and cross hedging performance of KOSPI200 stock index futures against the NYSE market Portfolio in USA. For this objective, we use the traditional minimum variance hedge model (OLS), VECM and the Bivariate GARCH (1, 1) models. The hedge performance analysis was performed not only by in-sample but by out-of-sample with except data of 77 weeks. Based on analysis of this study, the following conclusions have been drawn: Firstly, according to the results of the unit root test, The result shows that the level variables of NYSE market Portfolio and KOSPI200 stock index futures are non-stationary but the their returns are stationary. Secondly, co-integration test shows that there is at least one co-integration between the variables. Thirdly, there are no significantly differs existing in hedging ratios and hedging performance calculated by the three models. Fourthly, We needs to find another cross hedging stock index futures against investing the NYSE market Portfolio in USA because cross hedging performance of KOSPI200 stock index futures against NYSE market portfolio is poor.
URI
http://hdl.handle.net/YU.REPOSITORY/30868
ISSN
1598-8813
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경영대학 > 경영학과 > Articles
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