Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model

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Title:	Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model
Authors:	Chuang, CC (Chuang, Chung-Chu) Wang, YH (Wang, Yi-Hsien) Yeh, TJ (Yeh, Tsai-Jung)
Contributors:	財金系
Keywords:	EUM-MVaR model hedging effectiveness multivariate skewed t distribution multivariate VEC-ADVECH-L model value-at-risk
Date:	2020-02-19
Issue Date:	2020-12-10 15:28:34 (UTC+8)
Abstract:	The higher moments of hedged portfolio returns often influence the calculation of value-at-risk (VaR). To establish future short and long hedged portfolios, this study proposes a new modified VaR model, an expected utility maximization (EUM) subject to the modified VaR of higher moments (EUM-MVaR) of stock index futures in markets in greater China. EUM-MVaR has the greatest hedging effectiveness in determining hedged portfolios, while the minimum variance (MV) model had the least hedging effectiveness; the consideration of higher moments of a hedged portfolio return is more effective than non-consideration in determining the hedging effectiveness.
Relation:	EMERGING MARKETS FINANCE AND TRADE 卷冊: 56 期: 3 頁數: 508-526
Appears in Collections:	[Department of Banking & Finance ] periodical articles

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