| Title: | The optimal dynamic hedging strategy for Nikkei 225 index and futures |
| Authors: | Chen, Chun-da;Lee, Ming-chih;Chiou, Jer-shiou |
| Contributors: | 淡江大學財務金融學系 |
| Keywords: | Nikkei 225 index;Nikkei 225 index futures;GARCH;Kalman filter;Hedging effectiveness |
| Date: | 2005-01 |
| Issue Date: | 2009-11-30 17:52:23 (UTC+8) |
| Publisher: | New Delhi: TARU Publications |
| Abstract: | In this study we investigate the hedging effectiveness on the Nikkei 225 index within Osaka and Singapore Nikkei 225 Futures. The results show that the bivariate GARCH-CI model generates better hedging performances than the other models do, no matter what futures we use. Under these four models (bivariate GARCH-CI, ECM, VAR, and Kalman filter), a longer holding period generates a better hedging effectiveness. Moreover, the Osaka Nikkei 225 Futures provide better hedging performance than Singapore Nikkei 225 Futures do. We therefore conclude that investors employing Osaka Nikkei 225 Futures with a longer holding period to hedge spot risks can achieve the best hedging performance under the bivariate GARCH-CI model. These results are very helpful to investors who invest in Japan’s stock markets. |
| Relation: | Journal of Statistics & Management Systems 8(3), pp.477-491 |
| DOI: | 10.1080/09720510.2005.10701173 |
| Appears in Collections: | [財務金融學系暨研究所] 期刊論文
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