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An Empirical Study on Lead-Lag Relationship between Mini-Gold Spot and Futures and Hedge Performance of Mini-Gold Futures Market
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미니골드 현·선물시장사이의 선도-지연과 헤지성과에 관한 실증적 연구

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Type
Academic journal
Author
Chung Hyo Hong
Journal
한국재무관리학회 재무관리연구  Vol.31 No.2 KCI Accredited Journals
Published
2014.6
Pages
29 - 48 (20page)

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An Empirical Study on Lead-Lag Relationship between Mini-Gold Spot and Futures and Hedge Performance of Mini-Gold Futures Market
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This article examines the lead-lag relations between mini-gold spot and futures as well as the hedge performance of mini-gold futures against downside risk of mini-gold spot market. The major empirical results are as follows; First, according to the lead-lag results, we find that the mini-gold spot market have an impact on the futures market but not vice versa. Second, we also find that the optimal hedge ratio of VECM(3) is relatively higher than those of minimum variance hedge model of Ederington (1979) and GARCH (1,1) of Bollerslev (1986). Third, in terms of the hedge performance, there is no significant difference in the hedge performance among the minimum variance hedge model, VECM (3) and GARCH (1,1) models during the within sample period but the hedge performance of GARCH (1,1) is relatively greater than those of the two static hedge models. From these empirical results we infer that the price discovery and hedge function of mini-gold futures against mini-gold spot markets are weak. We also think these kinds of results would be a little bit helpful for a hedger to set up investment and hedge strategies with mini-gold futures markets in Korea.

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