淡江大學機構典藏:Item 987654321/18383
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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18383


    Title: Hedging with Floor-traded and E-mini Stock Index Futures
    Authors: Chiu, Chien-liang;Wu, Pei-shan;Chen, Chun-da;Cheng, Wan-hsiu
    Contributors: 淡江大學財務金融學系
    Date: 2005
    Issue Date: 2009-08-26 15:37:57 (UTC+8)
    Publisher: University of Nebraska Press
    Abstract: This study investigates the out-of-sample hedging effectiveness and dynamic hedge ratios of floor-traded and E-mini futures with VAR, ECM, bivariate GARCH, Kaiman filter, and Markov regime switching in the S&P500 and Nasdaq-100 markets. The empirical results show that both the floor-traded and E-mini futures can be good instruments to be used as hedge objectives. The correlation coefficient between spot and futures increases and hedge effectiveness goes up when the hedging period is extended. Moreover, the bivariate GARCH and Markov regime switching show a higher HEI performance in short-term and long-term hedging periods, respectively. Furthermore, floortraded futures with an open outcry system surprisingly do better than E-mini futures contracts. This study proposes meaningful evidence of hedging strategies for investors with different spot index, hedging periods, and trading mechanisms.
    Relation: Quarterly Journal of Business and Economics 44(3-4), pp.49-68
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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