株價指數 先物去來를 이용한 헷징 = Stock Index Futures and Hedging

다국어 초록 (Multilingual Abstract)

In early 1982 three exchanges were granted regulatory approval to begin trading futures contracts based on stock market indexes.
All three markets have proved to be extremely successful, with open interest and daily trading volume rapidly growing to many thousands of contracts.
The immediate success of stock index futures was to be expected with over $1,600 billion of traded equity outstanding and more than 40 million individuals in the US who own shares directly.
The cash market for stock is far larger than any existing futures contract.
Stock prices are also highly volatile, so that the owners of stocks bear collectively in enormous amount of risk, only a portion of which can be diversified by holding balanced portfolio.
Stock index futures offer the possibility of directly managing the nondiversifiable risk of an equity position regardless of its composition.
In this article we examine the use of the stock index contracts in hedging risk in various stock portfolios.
In section Ⅱwe discuss the index futures contracts and the underlying indexes.
Section Ⅲ examines four particular models of hedging behavior applied to stock index futures which capture a wide spectrum of attitudes about risk and return,
Section Ⅳ derives the risk and return characteristics of a hedged portfolio when there is basis risk and uncertainty about dividends.
In section Ⅳ we showed that hedging a stock portfolio with index futures will typically involve substantial basis risk arising from three sources.
First, fluctuations in the value of a given stock portfolio are only imperfectly correlated with changes in a market indexes.
Unsystematic price changes cannot be hedged.
Second, when the hedge is not held until the futures contract expires, additional basis risk arises due to changes in the price difference between the futures and its underlying index over time.
And third, the futures contract can only hedge against the risk of stock price movements. Risk arising from uncertain dividend payouts will remain. All three factors will play a role in determining hedging effectiveness and optimal hedge ratios.

목차 (Table of Contents)

• Ⅰ. 序 論
• Ⅱ. 株價指數와 株價指數 先物去來
• 1. 株價指數 先物去來의 意義
• 2. 株價指數 線物去萊와 對象指數
• Ⅲ. 헷지理論과 株價指數 先物去來
• 1. 傳統的 헷지戰略
• 2. Working의 헷지戰略
• 3. Johnson의 最小危險헷지戰略
• 4. Rutledge의 效用極大化 헷지戰略
• Ⅳ. 株價指數 先物去來를 이용한 헷징
• Ⅴ. 結 論