Dynamic Hedging Effectiveness in South Korean Index Futures and the Impact of the Asian Financial Crisis |
| |
Authors: | Ah-Boon Sim Ralf Zurbruegg |
| |
Institution: | (1) School of Banking and Finance, University of New South Wales, Australia;(2) School of Commerce, University of Adelaide, Australia |
| |
Abstract: | This paper focuses on the impact of the 1997 Asian financial market crisis upon hedging effectiveness within the KOSPI 200 stock index and index futures markets. The paper utilizes the inter-temporal relationship between the two markets to examine the characteristics of several minimum variance hedge ratios. It also examines the performances of alternative hedging strategies for dynamic portfolio management in the presence of cointegrated time-varying risks. The results show a decline in the persistence of conditional volatility within market prices after the crisis. This decline leads to the relative performance of utilizing constant hedge ratios to increase, though not significantly so to guarantee a superior performance over more sophisticated time-varying hedge ratio strategies. |
| |
Keywords: | dynamic hedging futures markets |
本文献已被 SpringerLink 等数据库收录! |