돈육선물의 헤지성과

• 영문명: Hedging with Lean Hog Futures
• 발행기관: 한국농업경제학회
• 저자명: 김석진(Seokchin Kim) 윤영준(Youngjun Yun) 도영호(Young Ho Do)
• 간행물 정보: 『농업경제연구』52권 2호, 27~49쪽, 전체 23쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2011.06.30

영문 초록

This paper estimates optimal hedge retios and compares their hedge performance in the newly incepted Korean lean hog futures market. We use daily prices of lean hog spot and futures contracts from July 21, 2008 to January 29, 2010, and employ the time-varying bivariate GARCH(1,1) model as well as various time-invariant models(OLS, VECM). Interestingly, the hedge performance of the OLS model is highest for the within-sample period. For the out-of-sample period, the hedge performance of the bivariate GARCH(1,1) model is highest, which beats that of the OLS model by small margins, though. Our results imply that a simple OLS hedge model is good enough, compared to other models including complex time-varying hedge models, especially in immature futures markets.

목차

Ⅰ. 서 론

Ⅱ. 국내 돈육선물시장

Ⅲ. 자료와 연구방법

Ⅳ. 헤지모형 추정과 헤지성과

Ⅴ. 결론

키워드

Lean hog futures Hedge ratio Hedge performance Time-varying Bivariate GARCH