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Study Of The Hedging Of Stock Index Futures Based On Markov Regime-switching Dynamic Copula-GJR Model

Posted on:2013-01-06Degree:MasterType:Thesis
Country:ChinaCandidate:C YuFull Text:PDF
GTID:2269330425961168Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Determining the optimal hedging strategy has always been the most important oneof the topics in the field of stock index futures hedging research, and the effect ofhedging strategy mainly depends on the accuracy of hedging ratio estimation. Aimed atthe stock index futures and stock index returns characteristics and its dependencefeatures, this paper constructs a GJR-Skew-t model based on dynamic Copula functionswith Markov regime switching for the purpose of estimating the minimum variancehedging ratio between the returns of stock index futures and spot in five Asian markets.Taking the stock index futures and stock spot in five Asian stock markets of HongKong, Japan, Singapore, South Korea and Taiwan as the research object, this paperfirstly constructs GJR-skewed-t model to estimate the conditional volatility of stock in-dex futures and stock returns and determine the specific marginal distribution accordingto the characteristics of biased, peak thick tail distribution and asymmetric volatility instock index futures and stock returns. Furthermore, using cumulative distribution func-tion value sequence in different markets to estimate the Markov regime switching dy-namic Copula model, this paper obtains the joint distribution between stock index fu-tures and stock returns based on the condition of Markov regime switching dynamicNormal Copula-GJR model, and then calculates the optimal hedging ratio. Finally, ac-cording to the hedging ratios of model based on Markov regime switching dynamicNormal Copula-GJR and other models, this paper compares and analyzes the hedgingperformance in different models.The results show that risk aversion effect of dynamic hedging model is better thanthe static model. According to the variance reduction of hedging portfolio, hedging ef-fect of the model based on Markov regime switching dynamic Normal Copula-GJRhave more significant promotion than of other dynamic strategies; except for Singapore,higher revenue can be gained by the hedging model of Markov regime-switching dy-namic Copula-GJR-Skewed-t model rather than the traditional models, which meansthat this strategic model helps to reduce the hedging cost.
Keywords/Search Tags:Stock index futures, Hedging, Markov regime switching dynamicCopula function, GJR model
PDF Full Text Request
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