돈육 선물계약의 헤징성과와 시장유효성에 관한 연구 = The Hedging Performance and Effectiveness in Lean Hog Futures Market

다국어 초록 (Multilingual Abstract)

This study is to evaluate hedging performance and Effectiveness for lean hog futures market in Chicago Mercantile Exchange. Hedge ratio is measured by using the various method of the naive hedge model, OLS hedge model, error correction hedge model based on rolling windows. Hedging period is expanded to include one to eight weeks. Analysis data is used daily spot and futures price from January, 2, 1996 to December 28, 2007. The empirical results are summarized as follows: First, hedging using OLS hedge model reduces spot price`s volatility risk by 37%. Second, there are difference of hedging effectiveness among hedging models. OLS hedge model produces the best hedging performance. Third, hedging performance is not improved in proportion to long hedging period.

참고문헌 (Reference)

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