| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 98 === This paper investigates effects of the basis on the return and risk structure of stock index spot and futures, and uses optimal hedge ratios with no basis, symmetric effects, and asymmetric effects of the basis for estimating futures hedging performances. Besides, this paper considers the co-integration between spot and futures and hence establishes the error-correction model. Five samples which include TAIEX, MSCI Taiwan Stock Index, NASDAQ 100 Stock Index, Nikkei 225 Stock Index, and S&P 500 Stock Index are studied. Empirical results show that spot and futures in all index markets hold the prediction of the cost-of-carry theory, and the asymmetric effects of spread on spot and futures returns and volatilities are found in all markets. Therefore, this paper examines whether hedging performances of asymmetric effects of the basis GJR-GARCH model outperforms other hedging strategies. As a whole, four samples which consider the effect of the basis on the model provides the best performance. The asymmetric effect model provides the best out-sample performance for NASDAQ 100 index and TAIEX, and the symmetric effect model provides the best out-sample performance for MSCI Taiwan Stock Index and Nikkei 225 index.
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