• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.231-253
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• 2004

We examine hedge strategies that use Won-dollar futures to hedge the price risk of the Won-dollar exchange rate. We employ the naive hedge model, minimum variance hedge model and bivariate ECT-ARCH(1) model as hedge instruments, and analyze their hedge performances. The sample period covers from January 2, 2001 to December 31, 2002 with sub-samples such as daily, weekly, bi-weekly prices of the Won-dollar futures and cash. The important findings may be summarized as follows. First, there is no significant difference in hedge ratio between the risk minimum variance model and bivariate ECT-ARCH(1) model that controls for the cointegration relationship of the Won-dollar futures and cash. Second, hedge performance of the naive model and minimum variance model with constant hedge ratios is not far behind that of bivariate ECT-ARCH(1) model with time-varying hedge ratios. This results imply that investors are encouraged to use the minimum variance hedge model to hedge Won-dollar exchange rate with Won-dollar futures. Third, hedge performance and effectiveness of each model is also analyzed with respect to hedge period appear to be greater over long than over the short period. This evidence supports the hypothesis that futures prices would have more time to respond to the greater cash price changes over the longer holding period, leading to an improved hedge performance.

• The Korean Journal of Financial Management
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• v.18 no.1
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• pp.23-41
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• 2001

본 연구에서는 여러 계량 모형을 이용하여 계산한 헤지 비율의 성과를 비교하였다. 특히 헤지 비율을 추정하기 위하여 분수 공적분 오차 수정 모형을 이용하였다. KOSPI200 현물과 선물 지수를 이용하여 검증한 결과 현물, 선물 지수는 1차 적분된 시계열이며 베이시스는 분수 적분된 시계열이었다. 따라서 현물과 선물 지수는 분수 공적분된 시계열이었다. 최소 분산 헤지 비율을 최적 헤지 비율로 하여 성과를 측정한 결과 다음과 같은 결과를 얻었다. 헤지 성과는 GARCH 항이 있는 모형이 없는 모형에 비해 크게 나타나며 각 모형에서 고려하고 있는 정보 집합의 크기가 큰 순서인 FIEC, EC, VAR, OLS 순으로 헤지 성과는 크게 나타나고 있다. 그러나 OLS 방법에 의한 헤지에 의해서도 수익률 변동의 많은 부분이 사라져, 다른 모형들은 OLS 모형과 비교하여 추가적인 분산 감소 효과는 크지 않았다.

• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.243-266
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• 2006

This paper tests cross hedging performance of the KOSPI 200 stock index futures to hedge the downside risk of the KOSPI, KOSPI 200 and KOSDAQ50 spot market. For this purpose we introduce the minimum variance hedge model, bivariate GARCH(1,1) and EGARCH(1,1) model as hedge models. The main results are as follows; First, we find that the direct hedge performance of KOSPI 200 index futures is better than those of indirect hedge performance. second, in case or cross hedge performance the hedge effect of KOSPI 200 stock index futures market against KOSPI 200 stock index spot market is relatively better than those of KOSPI 200 index futures against KOSPI and KOSDAQ spot position. Third, for the out-sample, hedging effectiveness of the risk-minimization with constant hedge ratios is higher than those of the time varying bivariate GARCH(1,1) and EGARCH(1,1) model. In conclusion, investors are encouraged to use simple risk-minimization model rather than the time varying hedge models like GARCH and EGARCH model to hedge the position of the Korean stock index cash markets.

• Proceedings of the Safety Management and Science Conference
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• 2002.11a
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• pp.341-364
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• 2002

• The Journal of the Korea Contents Association
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• v.14 no.11
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• pp.905-914
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• 2014

In this study, we examine hedging effectiveness of KODEX200 ETF and KOSPI200 futures with respect to KOSPI200 spot or KODEX200 ETF using naive, the risk-minimization models and the VECM. The sample period covers from January 5. 2010 to October 31. 2013. Daily prices of the KOSPI200 spot, KOSPI200 futures and KODEX200 were used in this study. The results are summarized ans follows. First, this study show that there is cointegration relationship among KOSPI200 spot, futures and KODEX200 ETF market. Second, there is no significant difference in hedging performance among the models. Finally, hedged position of KOSPI200 cash(unhedged position)-KODEX200 ETF(hedge vehicle) or KODEX200 ETF-KOSPI200 futures seems to improve hedging performance compared to KOSPI200 cash-KOSPI200 futures. This implies that the portfolio managers may be encouraged to use the former than the latter.