KOSPI 200, S&P 500 주가지수 선물시장간 헤지모형의 성과비교에 관한 연구

This study investigates hedging performance of KOSPI 200 and S&P 500 futures with respect to KOSPI 200 and S&P 500 stock portfolio using VECM, VAR, Bivariate GARCH(1,1) and OLS regression models. Both weekly and daily hedging performances are evaluated during the sample period from May 3, 1996 to January 9, 2001. We found the following results. Firstly, unit roots are found in KOSPI 200 and S&P 500 futures and spot indices. Secondly, we can not find statistical differences among hedge ratios estimated from VECM, VAR, Bivariate GARCH(1,1) and OLS regression models. Thirdly, there are no significant differences in hedging performance among various models. Fourthly, weekly hedging produces the better hedging performance than daily hedging. Finally, hedging cost of KOSPI 200 futures is lower than that of S&P 500 futures while overall hedging performance of KOSPI 200 futures is relatively poor compared with S&P 500 futures