The Performance of Futures Hedging under Alternative Return Specifications

[[abstract]]本文主要研究探討在不同報酬型態下，使用由對數報酬與百分比報酬所推導出的最小變異數之避險比率，採用BEKK與DCC兩種不同的估計方法，比較不同報酬型態下之避險績效。利用台股指數現貨與期貨分析近月份及次近月份期貨契約之避險差異，且同時分析原油市場採用直接避險及交叉避險之避險績效差異。實證結果發現傳統避險比率在上述兩種報酬型態下，未必會使報酬變異數極小化。傳統的避險比率與MVHR兩者間的差異在直接避險下顯得相當的小，尤其是近月份期貨契約避險；但在使用交叉避險時，MVHR與傳統避險比率則會有顯著的差異。使用MVHR之投資組合報酬變異數，相對於未避險之投資組合報酬變異數，其避險績效提升至90%以上；而在交叉避險下也得以提升50%以上。因此，避險比率在不同的報酬型態下，應採不同的估算公式，才得以提升投資組合之避險績效。[[abstract]]This paper examines the minimum-variance hedge ratio (MVHR), which is derived under percentage and log returns. The MVHR formulas are derived under percentage and log returns, and the ratios are estimated by BEKK and DCC methods, then, the hedge performances are compared finally. In this paper, we adopt the spot and futures of Taiwan stock index to analyze the hedging performance between near-maturity and next-near-maturity futures; meanwhile, we analyze the difference of hedging performance in oil market by direct and cross hedge. The empirical results show that the conventional hedge ratio is not variance-minimizing when computed from returns measured in percentage or log terms. The difference between the conventional hedge ratio computed from percentage and log returns and the MVHR is found to be relatively small when directly hedging, especially when using near-maturity futures. However, the MVHR can vary significantly from the conventional hedge ratio computed from percentage or log returns when used in cross-hedging situations. In comparison with unhedged portfolios, the hedge effectiveness by using MVHR can be improved over 90% when directly hedging, and over 50% when used in cross-hedging situations. Therefore, the hedging effectiveness can be improved when considering the appropriate formula for calculating the optimal hedge ratio under different return specifications