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    題名: Hedging with S&P500 and E-mini S&P500 stock index futures
    作者: Lee, Ming-chih;Chiou, Jer-shiou;Wu, Pei-shan;Chen, Chun-da
    貢獻者: 淡江大學財務金融學系
    關鍵詞: S&P500;E-mini S&P500;dynamic hedging;hedge models;hedge strategy
    日期: 2005-07
    上傳時間: 2009-11-30 17:52:21 (UTC+8)
    出版者: New Delhi: TARU Publications
    摘要: In this study we explore the differences in hedging effectiveness between S&P500 and E-mini S&P500 futures contracts. We utilize VAR (vector autoregressive model), ECM (error correction model), bivariate GARCH, and Kalman filter to minimize the risks of spots and futures and obtain the optimal hedge ratio. A dynamic mechanism has been considered in making comparisons of the hedge effect among models and in determining the optimal hedge strategy. The results show that both S&P500 and E-mini S&P500 futures reduce the risks of holding spot positions, and regardless of the time span in hedging, S&P500 index futures can do better than E-mini S&P500 in terms of hedging effectiveness. The means of transaction indeed affect the hedging effectiveness, with high electronic transaction costs and high sensitivity of institutional investors seeming to be the reasons. As the time span in hedging is extended, the correlation coefficient between the spot market and futures increases and the hedge effectiveness increases as well. For both the means and different time span, the GARCH model shows its superiority in HEI performance as it captures the short-run dynamic effect and reflects the short-run fluctuations.
    關聯: Journal of Statistics & Management Systems 8(2), pp.275-294
    DOI: 10.1080/09720510.2005.10701158
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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