文献类型：期刊文献

英文题名：Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method

作者：Dai, Jun[1];Zhou, Haigang[2];Zhao, Shaoquan[3]

第一作者：Dai, Jun

通讯作者：Dai, J[1]

机构：[1]Wuhan Univ Sci & Technol, Sch Management, Wuhan 430081, Peoples R China;[2]Cleveland State Univ, Dept Finance, Cleveland, OH 44115 USA;[3]Beijing Union Univ, Coll Business, Dept Int Econ, Beijing, Peoples R China

第一机构：Wuhan Univ Sci & Technol, Sch Management, Wuhan 430081, Peoples R China

通讯机构：[1]corresponding author), Wuhan Univ Sci & Technol, 212 Mailbox,947 Heping Rd, Wuhan 430081, Hubei, Peoples R China.

年份：2017

卷号：466

起止页码：502-510

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20164302931874);Scopus(收录号：2-s2.0-84991672038);WOS:【SSCI(收录号:WOS:000388547800048)，SCI-EXPANDED(收录号:WOS:000388547800048)】；

基金：This work has been partially supported by the China Scholarship Council (File No. 201208420726), Humanities and Social Sciences Project by Ministry of Education of China (No. 12YJC790024), and Humanities and Social Science by the Ministry of Education of Hubei Province (No. 2012D026).

语种：英文

外文关键词：Downside risk; Wavelet decomposition; Multi-scale hedge ratio

摘要：This paper considers a multi-scale future hedge strategy that minimizes lower partial moments (LPM). To do this, wavelet analysis is adopted to decompose time series data into different components. Next, different parametric estimation methods with known distributions are applied to calculate the LPM of hedged portfolios, which is the key to determining multi-scale hedge ratios over different time scales. Then these parametric methods are compared with the prevailing nonparametric kernel metric method. Empirical results indicate that in the China Securities Index 300 (CSI 300) index futures and spot markets, hedge ratios and hedge efficiency estimated by the nonparametric kernel metric method are inferior to those estimated by parametric hedging model based on the features of sequence distributions. In addition, if minimum-LPM is selected as a hedge target, the hedging periods, degree of risk aversion, and target returns can affect the multi-scale hedge ratios and hedge efficiency, respectively. (C) 2016 Elsevier B.V. All rights reserved.