Hedging with the Nikkei index futures: The convential model versus the error correction model
Publication in refereed journal


香港中文大学研究人员 ( 现职)

范健强教授 (工商管理学院)

周文林教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/S1062-9769(96)90048-4

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/35WOS source URL

其它资讯

摘要This study estimates and compares the hedge ratios of the conventional and the error correction models using Japan's Nikkei Stock Average (NSA) index and the NSA index futures with different time intervals. Comparisons of out-of-sample hedging performance reveal that the error correction model outperforms the conventional model, suggesting that the hedge ratios obtained by using the error correction model do a better job in reaching the risk of the cash position than those from the conventional model. In addition, this paper evaluates the effects of temporal aggregation on hedge ratios. It is found that temporal aggregation has important effects on the hedge ratio estimates.

着者Chou WL, Denis KKF, Lee CF
期刊名称Quarterly Review of Economics and Finance
出版年份1996
月份12
日期1
卷号36
期次4
出版社JAI PRESS INC
页次495 - 505
国际标準期刊号1062-9769
语言英式英语

Web of Science 学科类别Business & Economics; Business, Finance; Economics