交叉上市股指期货的套期保值效果

IF 1 Q3 ECONOMICS Global Economy Journal Pub Date : 2019-09-04 DOI:10.1142/S2194565919500118

K. K. Kumar, S. Bose

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引用次数: 5

摘要

本文研究了交叉上市的Nifty指数期货的套期保值效果，并比较了不变和动态最优套期保值策略的效果。我们使用了2010年7月15日至2016年7月15日在印度国家证券交易所(NSE)交易的Nifty指数和在新加坡证券交易所(SGX)交叉上市的Nifty期货的每日数据，为期六年。各种竞争形式的多元广义自回归条件异方差(MGARCH)模型，如恒定条件相关(CCC)和动态条件相关(DCC)，已被用于捕获时变波动率。结果清楚地描述了动态对冲比率优于传统的恒定对冲比率，其中DCC-GARCH模型是最有效的，与未对冲的投资组合相比，方差减少最大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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HEDGING EFFECTIVENESS OF CROSS-LISTED NIFTY INDEX FUTURES

This paper investigates the hedging effectiveness of cross-listed Nifty Index futures and compares the performance of constant and dynamic optimal hedging strategies. We use daily data of Nifty index traded on the National Stock Exchange (NSE), India and cross-listed Nifty futures traded on the Singapore Stock Exchange (SGX) for a period of six years from July 15, 2010 to July 15, 2016. Various competing forms of Multivariate Generalised Autoregressive Conditional Heteroscedasticity (MGARCH) models, such as Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC), have been employed to capture the time-varying volatility. The results clearly depict that dynamic hedge ratios outperform traditional constant hedge ratios with the DCC–GARCH model being the most efficient with maximum variance reduction from the unhedged portfolio.

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来源期刊

Global Economy Journal ECONOMICS-

CiteScore

1.60

自引率

14.30%

发文量

期刊介绍： The GEJ seeks to publish original and innovative research, as well as novel analysis, relating to the global economy. While its main emphasis is economic, the GEJ is a multi-disciplinary journal. The GEJ''s contents mirror the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. The GEJ also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations. One over-arching theme that unites IT&FA members and gives focus to this journal is the complex globalization process, involving flows of goods and services, money, people, and information.