{"title":"股票关联证券定价中的马尔可夫机制转换：恒生指数关联产品损失的实证研究","authors":"Hongjoong Kim , Sungwon Park , Kyoung-Sook Moon","doi":"10.1016/j.frl.2025.106929","DOIUrl":null,"url":null,"abstract":"<div><div>The risk analysis of equity-linked securities (ELS) has become increasingly important, particularly after the substantial losses associated with HSCEI-linked ELS in South Korea in 2024. In this study, we assess the expected price and risk measures of a representative step-down ELS linked to three indices: S&P 500, EURO STOXX 50, and HSCEI, using Markov regime-switching (MRS) models. Our empirical findings show that the MRS model captures long-term market behavior more effectively than constant covariance models based on implied or historical volatility. Furthermore, only the MRS model reveals elevated potential risks for the HSCEI index compared to the other indices.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"76 ","pages":"Article 106929"},"PeriodicalIF":6.9000,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Markov regime-switching in pricing equity-linked securities: An empirical study for losses in HSCEI-linked products\",\"authors\":\"Hongjoong Kim , Sungwon Park , Kyoung-Sook Moon\",\"doi\":\"10.1016/j.frl.2025.106929\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>The risk analysis of equity-linked securities (ELS) has become increasingly important, particularly after the substantial losses associated with HSCEI-linked ELS in South Korea in 2024. In this study, we assess the expected price and risk measures of a representative step-down ELS linked to three indices: S&P 500, EURO STOXX 50, and HSCEI, using Markov regime-switching (MRS) models. Our empirical findings show that the MRS model captures long-term market behavior more effectively than constant covariance models based on implied or historical volatility. Furthermore, only the MRS model reveals elevated potential risks for the HSCEI index compared to the other indices.</div></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":\"76 \",\"pages\":\"Article 106929\"},\"PeriodicalIF\":6.9000,\"publicationDate\":\"2025-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S154461232500193X\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"2025/2/17 0:00:00\",\"PubModel\":\"Epub\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S154461232500193X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/2/17 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Markov regime-switching in pricing equity-linked securities: An empirical study for losses in HSCEI-linked products
The risk analysis of equity-linked securities (ELS) has become increasingly important, particularly after the substantial losses associated with HSCEI-linked ELS in South Korea in 2024. In this study, we assess the expected price and risk measures of a representative step-down ELS linked to three indices: S&P 500, EURO STOXX 50, and HSCEI, using Markov regime-switching (MRS) models. Our empirical findings show that the MRS model captures long-term market behavior more effectively than constant covariance models based on implied or historical volatility. Furthermore, only the MRS model reveals elevated potential risks for the HSCEI index compared to the other indices.
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Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies.
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