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    Title: Asymmetric Dynamic Hedging Effectiveness: Evidence from Taiwan Stock Index Futures
    Authors: Chuang, Chung-chu;Wang, Yi-hsien;Yeh, Tsai-jung;Chuang, Shuo-li
    Contributors: 淡江大學管理科學學系
    Keywords: Futures;hedging;hedging effectiveness;asymmetric dynamic hedging effectiveness
    Date: 2012-08
    Issue Date: 2012-10-25 09:53:26 (UTC+8)
    Publisher: Academic Journals
    Abstract: This study examines the asymmetric dynamic hedging effectiveness the Taiwan stock index futures byextending the concepts of naive hedging effectiveness and dynamic hedging effectiveness proposed byChoudhry (2003). Based on the minimum-variance hedging portfolio, static hedging models anddynamic hedging models are also compared in terms of hedging effectiveness, dynamic hedgingeffectiveness, hedging effectiveness of dynamic conditional correlation and asymmetric dynamichedging effectiveness. Experimental results indicate that, there is an asymmetric dynamic hedgingeffectiveness in the Taiwan stock index futures asymmetric dynamic hedging. Additionally, hedgingeffectiveness of the dynamic conditional correlation hedging model is better than that of the conditionalcorrelation hedging model. We thus recommend that investors consider the asymmetric dynamichedging model when constructing the minimum-variance hedging portfolio.
    Relation: African Journal of Business Management 6(34), pp.9671-9680
    DOI: 10.5897/AJBM11.618
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

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