Analysis of Optimal Hedge Strategy for Stock Index Futures

• Main Authors: Horng-Yih Shiau, 蕭宏毅
• Other Authors: Jong-Rong Chiou
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/48702649926804136616

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 99 === When we discuss the matter of futures hedging, the main hedging objective generally focuses on achievement of the minimum stationary or nonstationary variances. On the fund manager’s viewpoint, they generally pay much attention to the downside risk. In this research, we will introduce two major downside risk theorems, the Lower Partial Moment (LPM) and Value at Risk (VaR), into the hedging strategy and apply the trial-and-error method to find out the lowest hedging ratio on both LPM and VaR. On the other hand, we calculate the lowest hedging ratio of the Minimum Variance (MV) strategy. And then, we analyze the optimal hedge strategy by three performance approach, two kind of different unit-risk-return and determination coefficient. Furthermore, we will take the idea of the moving window to the research and change the hedging period from one year to one week and two weeks. And then, we also analyze the optimal hedge strategy by three performance approach. In the end, we compare the optimal hedge strategy from country to country and draw a conclusion. We use daily returns of U.S. S&P500、British FTSE100、Japanese NIKKEI225、H.K. Hang Seng and TAIFEX Stock Indexes on Spot and Futures market in this research. The sample period extends from January 1st, 2000 to Auguest 31, 2010.