The Research of The Optimal Hedge Ratios and Hedge Performarce For Domestic Short Term Interest Rate Futures

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题名:	The Research of The Optimal Hedge Ratios and Hedge Performarce For Domestic Short Term Interest Rate Futures
作者:	Jan Tsung Chi
贡献者:	Department of Business Administration
关键词:	Hedge Ratio;Hedge Performance;Naive Model;OLS Model;VECM Model
日期:	2006
上传时间:	2009-11-17 11:17:37 (UTC+0)
出版者:	Asia University
摘要:	The purpose of this research is to estimate optimal hedge ratio and compare hedge performance by using Naive model , OLS model and VECM model . The data include Taiwan 30-Day Commercial Paper Futures and Taiwan 10-Day , 90-Day , 180-Day Commercial Paper . The major results are as follows? 1. By using unit roots testing of all data , we find that the significance of unit roots and the nonstationarity of the price series . Hence , price series should be differenced to induce stationary . 2. The result of cointegration test has shown that there is a long-run equilibrium relationships between spot and futures prices . Consequently , a cointegration measure can be taken into account in the hedge model . 3. We find the same result in detecting the effects of in-of sample periods and out-of sample periods . The OLS model performs more well than all other hedge models for Taiwan 30-Day Commercial Paper Futures , and the VECM model is the second best . The results also has indicated that the VECM model can not improve the hedge performance . The portfolio including Taiwan 30-Day Commercial Paper Futures and Taiean 90-Day Commercial Paper can make the best hedge performance.
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