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Type: Journal article
Title: Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis
Author: Sim, A.
Zurbrugg, R.
Citation: Asia-Pacific Financial Markets, 2001; 8(3):237-258
Publisher: Kluwer Academic Publishers Group
Issue Date: 2001
ISSN: 1387-2834
Statement of
Ah-Boon Sim, Ralf Zurbruegg
Abstract: This paper focuses on the impact of the 1997 Asian financial market crisis upon hedging effectiveness within the KOSPI 200 stock index and index futures markets. The paper utilizes the inter-temporal relationship between the two markets to examine the characteristics of several minimum variance hedge ratios. It also examines the performances of alternative hedging strategies for dynamic portfolio management in the presence of cointegrated time-varying risks. The results show a decline in the persistence of conditional volatility within market prices after the crisis. This decline leads to the relative performance of utilizing constant hedge ratios to increase, though not significantly so to guarantee a superior performance over more sophisticated time-varying hedge ratio strategies.
Keywords: dynamic hedging; futures markets
Description: The original publication can be found at
Rights: © 2002 Kluwer Academic Publishers
RMID: 0020021631
DOI: 10.1023/A:1016268419530
Appears in Collections:Business School publications

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