개별주식선물시장의 헤지성과에 관한 실증적 연구 : 정태적헤지모형 vs 동태적헤지모형 = An Empirical Study on the Hedge Effectiveness of Individual Stock Futures in Korea

다국어 초록 (Multilingual Abstract)

We investigate the pertinent hedging ratios and hedge performance of 6 individual stock futures market against each spot market. For this purpose, we make use of the traditional minimum variance hedge model of Ederington(1979) as well as a bivariate ECT-EGARCH model of Nelson(1990).
The whole sample period is covered from May 6, 2008 to March 22, 2010. We use the daily data of 6 individual stocks’ cash and near-by futures markets. The major empirical results are as follows;First, we find that there are co-integration relationship between 6 individual stock’s cash and futures markets.
Second, we also find that the optimal hedge ratios of time varying ECT-EGARCH(1, 1) model are relatively greater than those of minimum variance hedge model.
Third, The hedge performance of minimum variance hedge model is relatively better than that of time varying ECT-EGARCH(1, 1) model both within-sample and out-of sample period. This results are consistent with those of Figlewski(1984), Ghosh(1993), Holmes(1996) etc.
Fourth, among the 6 individual stock futures, the hedge effectiveness of POSCO and KEPCO are better than those of other 4 individual stocks. The hedge performance of SK telecommunication is much less than those of other 5 individual stock futures.
We hope that these empirical results would be informative for the investors to set up any investment and risk management strategies.

국문 초록 (Abstract)

본 연구는 2008년 5월 6일 한국거래소에 상장된 개별주식상품을 대표하는 삼성전자, 신한금융지주, 현대자동차, 한국전력, POSCO, 및 SK텔레콤 선물(futures)의 각 현물시장에 대한 최적헤지비율 및 직접(direct)적인 헤지성과를 실증적으로 분석하였다. 이를 위하여 분석모형은 Ederington(1979)의 최소분산헤지모형(minimum variance hedge model)과 Bollerslev(1986)의 GARCH 모형을 확장한 Nelson(1990)의 시간변동 이변량 ECT-EGARCH(1,1)모형을 도입하였으며 주요 실증분석결과는 다음과 같다.
첫쩨, 전체분석기간동안 각 개별주식선물시장과 현물시장사이에는 공적분관계가 존재하는 것으로 나타났다.
둘째, 내표본 및 외표본기간 모두 전통적인 최소분산헤지모형의 헤지성과가 시간변동 이변량 ECT- EGARCH(1,1)모형의 헤지성과보다 상대적으로 더 나은 것으로 나타났다.
셋째, 전반적으로 개별주식선물들의 각 현물시장에 대한 헤지성과의 유용성을 확인하였으며, POSCO와 한국전력 주식선물의 헤지성과가 상대적으로 더 높은 것으로 나타났으며, SK텔레콤 주식선물의 헤지성과는 상대적으로 저조한 것으로 나타났다.
이러한 실증분석결과로부터 개별주식선물의 각 현물에 대한 헤지유용성이 높은 것으로 추론해 볼 수 있으며 이는 또한 Figlewski(1984), Ghosh(1993), Holmes(1996), 이재하, 장광열(2001) 홍정효, 문규현(2003, 2006) 등의 연구결과와 일맥상통하는 것으로 나타났다.

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