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題名 Do the Pure Martingale and Joint Normality Hypotheses Hold for Futures Contracts? Implications for the Optimal Hedge Ratios
作者 陳聖賢
Chen, Sheng-Syan
Lee, Cheng-few
Shrestha, Keshab
貢獻者 財管系
關鍵詞 Hedge ratio; Pure martingale hypothesis; Joint normality hypothesis
日期 2008
上傳時間 11-Jun-2018 17:19:42 (UTC+8)
摘要 It is well known that the optimal hedge ratios derived based on the mean-variance approach, the expected utility maximizing approach, the mean extended-Gini approach, and the generalized semivariance approach will all converge to the minimum-variance hedge ratio if the futures price follows a pure martingale process and if the spot and futures returns are jointly normal. In this paper, we perform empirical tests to see if the pure martingale and joint normality hypotheses hold using 25 different futures contracts and five different hedging horizons. Our results indicate that the pure martingale hypothesis holds for all commodities and all hedging horizons except for three stock index futures contracts. As for joint normality, we propose two new tests based on the generalized method of moments, which allow for calculating multivariate test statistics that take account of the contemporaneous correlation across spot and futures returns. Our findings show that the joint normality hypothesis generally does not hold except for a few contracts and relatively long hedging horizons.
關聯 Quarterly Review of Economics and Finance, Vol.48, No.1, pp.153-174
資料類型 article
DOI http://dx.doi.org/10.1016/j.qref.2005.10.002
dc.contributor 財管系zh_TW
dc.creator (作者) 陳聖賢zh_TW
dc.creator (作者) Chen, Sheng-Syanen_US
dc.creator (作者) Lee, Cheng-fewen_US
dc.creator (作者) Shrestha, Keshaben_US
dc.date (日期) 2008
dc.date.accessioned 11-Jun-2018 17:19:42 (UTC+8)-
dc.date.available 11-Jun-2018 17:19:42 (UTC+8)-
dc.date.issued (上傳時間) 11-Jun-2018 17:19:42 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/117550-
dc.description.abstract (摘要) It is well known that the optimal hedge ratios derived based on the mean-variance approach, the expected utility maximizing approach, the mean extended-Gini approach, and the generalized semivariance approach will all converge to the minimum-variance hedge ratio if the futures price follows a pure martingale process and if the spot and futures returns are jointly normal. In this paper, we perform empirical tests to see if the pure martingale and joint normality hypotheses hold using 25 different futures contracts and five different hedging horizons. Our results indicate that the pure martingale hypothesis holds for all commodities and all hedging horizons except for three stock index futures contracts. As for joint normality, we propose two new tests based on the generalized method of moments, which allow for calculating multivariate test statistics that take account of the contemporaneous correlation across spot and futures returns. Our findings show that the joint normality hypothesis generally does not hold except for a few contracts and relatively long hedging horizons.en_US
dc.format.extent 142 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Quarterly Review of Economics and Finance, Vol.48, No.1, pp.153-174zh_TW
dc.subject (關鍵詞) Hedge ratio; Pure martingale hypothesis; Joint normality hypothesisen_US
dc.title (題名) Do the Pure Martingale and Joint Normality Hypotheses Hold for Futures Contracts? Implications for the Optimal Hedge Ratiosen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.qref.2005.10.002
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.qref.2005.10.002