期刊論文
| 學年 | 93 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2005-01-01 |
| 作品名稱 | The optimal dynamic hedging strategy for Nikkei 225 index and futures |
| 作品名稱（其他語言） | |
| 著者 | Chen, Chun-da; Lee, Ming-chih; Chiou, Jer-shiou |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | New Delhi: TARU Publications |
| 著錄名稱、卷期、頁數 | Journal of Statistics & Management Systems 8(3), pp.477-491 |
| 摘要 | In this study we investigate the hedging effectiveness on the Nikkei 225 index within Osaka and Singapore Nikkei 225 Futures. The results show that the bivariate GARCH-CI model generates better hedging performances than the other models do, no matter what futures we use. Under these four models (bivariate GARCH-CI, ECM, VAR, and Kalman filter), a longer holding period generates a better hedging effectiveness. Moreover, the Osaka Nikkei 225 Futures provide better hedging performance than Singapore Nikkei 225 Futures do. We therefore conclude that investors employing Osaka Nikkei 225 Futures with a longer holding period to hedge spot risks can achieve the best hedging performance under the bivariate GARCH-CI model. These results are very helpful to investors who invest in Japan’s stock markets. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 0972-0510 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | IND |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23756 ) |