کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1141062 956760 2009 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Could the jump diffusion technique enhance the effectiveness of futures hedging models?: A reality test
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Could the jump diffusion technique enhance the effectiveness of futures hedging models?: A reality test
چکیده انگلیسی

A multivariate Markov-switching ARCH (MVSWARCH) model in which variance/correlations for futures and spot returns is controlled by a state-varying mechanism is introduced and used to design a state-varying stock index futures hedge ratio. Additionally, a conventional random-variance framework, the MVGARCH (multivariate GARCH) model with a time-varying technique is employed and subjected to a benchmark model. The feasibility of these proposed models is examined using two types of spot positions selected from the U.K. stock markets: (1) the FTSE-100 market index, representing a well-diversified market portfolio, and (2) ten sub-stock indices defined by the Data Stream database, representing the sub-set of the market portfolio. The empirical results are consistent with the following notions. First, when futures and spot returns are simultaneously (individually) based on low or high volatility states, the corresponding correlation measure between futures and spot returns is higher (lower). Second, consistent with prior studies, the in-sample hedging effectiveness tests demonstrated the superior performance of the stat-varying hedge ratio generated by the MVSWARCH model in all cases. However, our empirical results further indicate that the out-of-sample performance of the MVSWARCH-based hedge ratio is statistically marginal when investors hold a well-diversified market portfolio as their spot position and tranquil periods are experienced.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 79, Issue 10, June 2009, Pages 3076–3088
نویسندگان
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