아시아지역 주식 투자시 KOSPI 200선물을 이용한 위험 관리에 관한 연구

Asian stock markets have the comovement of Korea stock price index return with Asian stock markets including Vietnam, Japan, China, Hong Kong, Singapore, Malaysia, and Indonesia. So this paper investigates the cross hedge of kospi 200 futures with Asian stock markets including Japan, China, Hong Kong, Taiwan, and Indonesia. We employ the cross hedge model, the minimum variance hedge model, the Vector Error Correction Model(VECM) and the bivariate G-ARCH model as hedge instruments, and analyze their hedge performances. The sample period covers from January 4, 2001 to April 30, 2007 with weekly stock index prices of Japan, China, Hong Kong, Taiwan, and Indonesia and kospi 200 futures. We found the following results.First, unit roots are found in kospi 200 futures and various spot prices except China during the sample period. There exists at least one cointegrating relationship among them.Second, we can find differences among hedge ratios estimated from VECM, Bivariate GARCH(1,1) and OLS regression models.Third, there are significant differences in hedging performance among various models.Finally, overall cross hedging performance and hedge ratios of Bivariate GARCH(1,1) model is relatively poor.