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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23756

    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:[Graduate Institute & Department of Banking and Finance] Journal Article

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