Hedging effectiveness of KOSPI200 index futures through VECM-CC-GARCH model

Authors
  • DonganKwon
  • TaewookLee
Abstract

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Hedging effectiveness of stock index futures

1 Introduction This paper is concerned with the use of stock indices futures to hedge the return on portfolios. This topic has received considerable attention in the literature, which will be briefly summarised in section 2 of the paper. First of all it is desirable to consider the nature of hedging. The main aim of hedging is assumed to be the minimisation of the variance of the return on the ...

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Article info

Journal name: Journal of the Korean Data and Information Science Society

Year: 2014

ISSN: 1598-9402

DOI: 10.7465/jkdi.2014.25.6.1449