A new dynamic hedging model with futures: the Kalman filter error-correction model

Wang, Chien Ho; Lin, Chang Ching; Lin, Shu Hui; Lai, Hung Yu

doi:10.21314/jor.2020.431

Cited by 2 publications

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“…VN30 index futures contract, though having attracted many investors, raises the concern of increasing volatility in the spot market. Wang, Lin, Lin & Lai (2020) has pointed out that index futures become one of the mose popular speculative instruments nowadays. Bologna and Cavallo (2002) state that futures market promotes speculation which leads to increasing volatility in the underlying spot market.…”

Section: Introductionmentioning

confidence: 99%

Index Futures Introduction and Stock Market Volatility: Empirical Study in Vietnam

子¹

2021

Preprint

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This paper aims at answering the question whether the VN30 index futures introduction has an impact on stock market volatility in Vietnam. Apply GARCH model of volatility with additive dummy variable from 28/7/2000 to 10/9/2020, the result shows that when the first listed index futures contract appears, it makes the volatility of VNIndex increases. The result is still robust after excluding the turmoil period of Vietnam stock market. This paper implies that policy maker should be more careful in promoting derivatives market in Vietnam.

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Section: Introductionmentioning

confidence: 99%

Index Futures Introduction and Stock Market Volatility: Empirical Study in Vietnam

子¹

2021

Preprint

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Razones de Cobertura con Futuros de los Indices Accionarios de Brasil y México

Gutiérrez

Pacheco

Gutiérrez

2021

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El objetivo del trabajo es introducir el modelo VAR bayesiano para estimar las razones dinámicas de cobertura de mínima varianza. El método evalúa la efectividad de las estrategias de cobertura utilizando datos de los mercados accionarios y futuros de Brasil y México. Los hallazgos muestran que el modelo VAR bayesiano presenta el mejor desempeño fuera de la muestra para minimizar la varianza del portafolio de cobertura en la mayoría de los horizontes de tiempo. La originalidad del trabajo se atribuye a que el modelo VAR bayesiano no ha sido aplicado en el diseño de estrategias de cobertura en mercados accionarios desarrollados y emergentes, particularmente para Brasil y México. Entre las limitaciones, la eficiencia de la cobertura puede llegar a ser inestable para los diferentes horizontes de tiempo debido al efecto de la reducción del tamaño de la muestra.

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A new dynamic hedging model with futures: the Kalman filter error-correction model

Cited by 2 publications

References 0 publications

Index Futures Introduction and Stock Market Volatility: Empirical Study in Vietnam

Index Futures Introduction and Stock Market Volatility: Empirical Study in Vietnam

Razones de Cobertura con Futuros de los Indices Accionarios de Brasil y México

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