국제 장외 주가지수선물시장의 헤지성과 비교분석에 관한 연구 : 나스닥100지수와 스타지수선물

This study investigates and compares the hedge performance of OTC stock index futures in USA and Korea. We employ the minimum variance hedge model as well as time varying bivariate ECT-GARCH(1,1) model as hedge instruments, and analyze their hedge performances. The sample period covers from November 7, 2005 to February 5, 2009 with daily near-by prices of the NASDAQ100 and STAR index futures and cash. The important findings may be summarized as follows. First, there is a co-integration relationship between NASDAQ100 and STAR index spot and futures markets. Second, according to within and out-of sample period hedge performance, NASDAQ100 index futures' hedge performance is much better than that of STAR index futures contract. Third, we also find that the hedge performance of the minimum variance model with constant hedge ratios is relatively greater than that of bivariate ECT-GARCH(1,1) model with time-varying hedge ratios. Fourth, we find that the hedge performance of weekly data is relatively superior to the that of daily data. These empirical results are similar to those of Kavussanos and Visvikis(2008), Miffre(2004), Holmes(1996), and Lien and Tse(1999) which studied the hedge performance of Athens, S&P500, NYSE and Nikkei225 stock index futures.