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 หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Hedging Effectiveness Comparison between Emerging and Developed Futures Exchanges) ผู้เขียน: ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์ ,  สุวรรณา พนาพิทักษ์กุล สื่อสิ่งพิมพ์:pdf AbstractThis research estimated hedge ratios by using two econometric models: constant hedge ratios (ordinary least square technique, OLS; vector autoregressive model, VAR; and vector error correction model, VECM) and dynamic hedge ratios (DVEC-GARCH). These hedge ratios developed using these models were tested for hedging effectiveness by the amount of average variance reduction between the hedged and unhedged positions for indices, gold, and single stock futures contracts in three futures exchanges: the US exchange (CME) as a well-developed exchange, the Taiwan Futures Exchange (TFX) and the Thailand Futures Exchange (TFEX) as two emerging exchanges. The constant hedge ratio models were superior to the dynamic hedge ratios and the VECM model performed better than the VAR or OLS models, while, the DVEC-GARCH model could reduce the portfolio variance the least. Nevertheless, variance reduction of the portfolio can be efficiently done about 80 percent for every exchange. |
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