개별주식선물시장의 헤지성과에 관한 실증적 연구 : 정태적헤지모형 vs 동태적헤지모형

We investigate the pertinent hedging ratios and hedge performance of 6 individual stock futures market against each spot market. For this purpose, we make use of the traditional minimum variance hedge model of Ederington(1979) as well as a bivariate ECT-EGARCH model of Nelson(1990). The whole sample period is covered from May 6, 2008 to March 22, 2010. We use the daily data of 6 individual stocks’ cash and near-by futures markets. The major empirical results are as follows;First, we find that there are co-integration relationship between 6 individual stock’s cash and futures markets. Second, we also find that the optimal hedge ratios of time varying ECT-EGARCH(1, 1) model are relatively greater than those of minimum variance hedge model. Third, The hedge performance of minimum variance hedge model is relatively better than that of time varying ECT-EGARCH(1, 1) model both within-sample and out-of sample period. This results are consistent with those of Figlewski(1984), Ghosh(1993), Holmes(1996) etc. Fourth, among the 6 individual stock futures, the hedge effectiveness of POSCO and KEPCO are better than those of other 4 individual stocks. The hedge performance of SK telecommunication is much less than those of other 5 individual stock futures. We hope that these empirical results would be informative for the investors to set up any investment and risk management strategies.