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An Econometric Investigation of Hedging Performance of Stock Index Futures in Korea: Dynamic versus Static Hedging

Hasan, Mohammad S, Choudhry, Taufiq, Zhang, Yuanyuan (2018) An Econometric Investigation of Hedging Performance of Stock Index Futures in Korea: Dynamic versus Static Hedging. International Journal of Banking Accounting and Finance, . ISSN 1755-3830. (In press) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

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Abstract

Employing daily data of stock index and stock index futures, this paper empirically investigates the hedging effectiveness of time-varying hedge ratios of emerging futures markets using South Korea as a case. This paper employs eight variants of GARCH models to estimate the hedge ratios along with the conventional methods, and compares the hedging effectiveness of these estimated hedge ratios across model specifications using both within-sample and out-of-sample forecasting performances. In contrast to recent research findings, hedging performance based on a conventional OLS method outperforms the GARCH class models.

Item Type: Article
Uncontrolled keywords: Stock index futures; time-varying hedge ratio; GARCH model; hedging effectiveness
Subjects: H Social Sciences
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: Mohammad Hasan
Date Deposited: 25 Sep 2018 11:17 UTC
Last Modified: 13 Nov 2019 12:03 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/69240 (The current URI for this page, for reference purposes)
Hasan, Mohammad S: https://orcid.org/0000-0002-2453-6868
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