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This paper is concerned with the hedging effectiveness of CSI 300 stock-index futures in the China spot market. Various models are used to estimate hedge ratio, namely simple ordinary least squares(OLS), vector error correction model(VECM) and a class of multivariate generalized autoregressive conditional heteroscedastic model (GARCH). The multivariate GARCH model can estimate the time varying hedge ratio whereas the other models give a constant hedge ratio.
The data consists of CSI 300 index and its stock-index futures covering the period April 16, 2010 to January 18, 2013 with 669 observations. The hedge performance analysis was performed by out-of-sample. The hedging performance of the models may vary according to the hedge horizon. Therefore, this paper considered the hedging effectiveness of the three models described previously over daily, weekly and monthly horizons. In order to analyze the hedge performance using out-of-sample, the total sample was split into two sections. The first 601 observations were used to estimate the optimal hedge ratio providing 600 returns for each variable and the remaining 68 observations were utilized to check the efficiency of the estimated hedge ratio.Based on analysis of this study, the following conclusions have been drawn: First, the stationarity of the data series were checked using the Augmented Dickey Fuller (ADF) and Phillips and Perron (PP) tests. These results showed that the time series of variable level contain unit roots and were non-stationary, while the time series of first difference variables were stationary at 1% level. Second, the Johansen Co-integration model was applied to find out the co-integration between CSI 300 index and its stock-index futures. The results showed that the null hypothesis of no co-integration between test variables was rejected. Hence, it can be depicted that the variables exhibit a long-run association between each other. Third, the out-of-the-sample forecasts concluded that the VECM and GARCH (1, 1) models resulted to about the same performance of hedging effectiveness with higher percentage in variance reduction than OLS model. The CSI 300 stock-index futures contracts provide a reasonably high level of hedging effectiveness (i.e. 80%~96%) and it can be said that CSI 300 futures contracts provided useful risk management tool hedging and for portfolio diversification.
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참고문헌 (56)
참고문헌 신청
Junkus, J. C. / 1985 / Use of Three Stock Index Futures in Hedging Decisions / Journal of Futures Markets 5:201~222
Koutmos, G. / 1998 / Dynamic Hedging of Commerical Paper with T-bills Futures / The Journal of Futures Markets 18:925~938
Kroner K. F. / 1993 / Time Varying Distribution and Dynamic Hedging with Foreign Currency Futures / Journal of Financial Quantitative Analysis 28(4):535~551
Kumar, B. / 2008 / Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets / Indian Institute of Management 6:1~35
Hsiu-Chuan Lee / 2010 / Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures Market / Asia-Pacific Journal of Financial Studies 39(3):396~415
Koutmos, G. / 1998 / Dynamic Hedging of Commerical Paper with T-bills Futures / The Journal of Futures Markets 18:925~938
Kroner K. F. / 1993 / Time Varying Distribution and Dynamic Hedging with Foreign Currency Futures / Journal of Financial Quantitative Analysis 28(4):535~551
Kumar, B. / 2008 / Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets / Indian Institute of Management 6:1~35
Hsiu-Chuan Lee / 2010 / Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures Market / Asia-Pacific Journal of Financial Studies 39(3):396~415
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