돈육선물시장의 헤지 성과에 관한 연구 = A Study on the Hedge Performance of Lean Hog Futures Market

다국어 초록 (Multilingual Abstract)

This paper studies the pertinent hedging ratios and hedge performance of leanhog futures market against the lean hog cash market. For this purpose, we make use of the traditional minimum variance hedge model of Ederington(1979) as well as a bivariate ECT-GARCH(1,1) model. The whole sample period is covered from July 1, 2008 to March 22, 2010. We use the daily data of lean hog cash and near-by futures markets. The major empirical results are as follows; First, we find that there are co-integration relationship between lean hog spot and futures markets. Second, we also find that the optimal hedge ratio of time varying ECT-GARCH(1,1) model is relatively less than that of minimum variance hedge model. Third, The hedge performance of minimum variance hedge model is relatively better than that of time varying ECT-GARCH(1,1) model both within-sample and out-of sample period. From these empirical results we infer that the lean hog futures might be a relevant derivative instrument to hedge the down side risk of lean hog cash market. However we think it is necessary for the Korea Stock Exchange and financial watch dog to develop any steps to increase the trading volume of lean hog futures market.

참고문헌 (Reference)

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