Font Size: a A A

The Dynamic Hedging Effectiveness: Evidence From CSI300

Posted on:2013-11-20Degree:MasterType:Thesis
Country:ChinaCandidate:W W TangFull Text:PDF
GTID:2249330374490513Subject:Applied Economics
Abstract/Summary:PDF Full Text Request
The modern of Hedging theory combination of three core factors including hedgeratio, the effectiveness of hedging and transaction costs of hedging. This paper mainlybased on the CSI300index and stock index futures as a sample to study the two majorissues: hedge ratio and the effectiveness of hedging.Since the futures play its hedgingfunction, both in theory and in practice, the determine to the hedge ratio has beenbecame the core of the problem.With the further research and development, theestimated hedge ratio from static model to dynamic model, the estimation methods areconstantly developing from the traditional OLS model to the multivariate GARCHmodel and then the application of copula functions. This will combine the advantagesof copula function and widely used in financial market to depict the volatility of theGARCH model on Copula-GARCH-X model to estimate the dynamic hedge ratio. Theestimated hedge ratio is more and more scientific, accurate, and will undoubtedly helpto hedging transactions and the development of the theory. Although in field of thehedge ratio to determine has emergence of a lot of research literature and the results,there have more and more scientific theory to determine the hedge ratio, andincreasingly close to the running track of the financial markets, but most of thesetheories lack of introduction evaluation indicators and the effectiveness of hedging.This article we will brief introduce in the theory of of hedging effectivenessdevelopment, and then use two of the hedging effect evaluation indicators to do theempirical testing. The results showed that based on the principle of risk minimizationand the conclusions based on the HBS indicators to evaluate the hedging effect in theempirical test using daily data are large differences. In the hedging effect based on theGARCH-X model under the principle of risk minimization is best, followed by thetheoretically perfect Copula-GARCH-X model. The article also discusses the datafrequency impact of hedging effect, results show that the hedging effect use of weeklydata is better than use daily data.
Keywords/Search Tags:CSI300, Hedge Ratio, Multivariate GARCH Model, Copula-GARCH-X model
PDF Full Text Request
Related items