On a mean-generalized semivariance approach to determining the hedge ratio

被引:34
作者
Chen, SS
Lee, CF [1 ]
Shrestha, K
机构
[1] Yuan Ze Univ, Coll Management, Dept Finance, Taoyuan, Taiwan
[2] Rutgers State Univ, Fac Management, Dept Finance, New Brunswick, NJ 08903 USA
[3] Univ Regina, Fac Adm, Regina, SK S4S 0A2, Canada
关键词
D O I
10.1002/fut.1604
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
A new mean-risk hedge ratio based on the concept of generalized semivariance (GSV) is proposed. The proposed mean-GSV (M-GSV) hedge ratio is consistent with the GSV-based risk-return model developed by Fishburn (1977), Bawa (1975, 1978) and Harlow and Rao (1989). The M-GSV hedge ratio can also be considered an extension of the GSV-minimizing hedge ratio considered hy De Jong, De Roon, and Veld (1997) and Lien and Tse (1998, 2000). The M-GSV hedge ratio is estimated for Standard & Poor's (S&P) 500 futures and compared to six other widely used hedge ratios, Because all the hedge ratios considered are known to converge to the minimum-variance (Johnson) hedge ratio under joint normality and martingale conditions, tests for normality and martingale conditions are carried out. The empirical results indicate that the joint normality and martingale hypotheses do not hold for the S&P 500 futures. The M-GSV hedge ratio varies less than the GSV hedge ratio for low and relevant levels of risk aversion. Furthermore, the M-GSV hedge ratio converges to a value different from the values of the other hedge ratios for higher values of risk aversion. (C) 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 581-598, 2001.
引用
收藏
页码:581 / 598
页数:18
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