An Investigation for Usefulness of the Optimal Hedge Ratio based on the Markov Regime Switching Models in the Korean Stock Market

• 발행기관: 한국자료분석학회
• 저자명: 옥기율(Ki Yool Ohk) 김채현(Chae-hyun Kim) 엄철준(Cheoljun Eom)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.10 No.5, 2373~2381쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2008.10.30

영문 초록

We investigate the hedging effectiveness of the Markov Regime Switching(MRS) model in the Korean stock and futures markets. We use two types of MRS models: MRS and time-varying transition probabilities MRS(TVTP-MRS) models. The hedging performance of MRS and TVTP-MRS models was compared to that of the alternative hedging strategies, such as the Na ve, OLS, and BEKK-GARCH(1,1) models. The following results are obtained: First, The optimal hedge ratios based on the MRS and TVTP-MRS models appear as the highest mean and lowest variance, compared with other models. Second, in the comparison among the models, the performance of the MRS models are relatively superior to the other models. These results suggest that the MRS models are more suitable for dynamic hedging strategies in the Korean stock market than alternative models.

목차

1. Introduction

2. Data and Methods

3. Empirical Results

4. Conclusions

Reference

키워드

Markov Regime Switching Model Hedging Performance Transition Probability