The optimal dynamic hedging strategy for Nikkei 225 index and futures

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/23756

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题名:	The optimal dynamic hedging strategy for Nikkei 225 index and futures
作者:	Chen, Chun-da;Lee, Ming-chih;Chiou, Jer-shiou
贡献者:	淡江大學財務金融學系
关键词:	Nikkei 225 index;Nikkei 225 index futures;GARCH;Kalman filter;Hedging effectiveness
日期:	2005-01
上传时间:	2009-11-30 17:52:23 (UTC+8)
出版者:	New Delhi: TARU Publications
摘要:	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.
關聯:	Journal of Statistics & Management Systems 8(3), pp.477-491
DOI:	10.1080/09720510.2005.10701173
显示于类别:	[財務金融學系暨研究所] 期刊論文

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