股票收盘价格的确定和股票指数期货套期保值性能.docx
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股票收盘价格的确定和股票指数期货套期保值性能
Determinationofstockclosingpricesandhedgingperformancewithstockindicesfutures
Keywords:
∙Stockclosingprices;
∙Futuresclosingprices;
∙Marketefficiency;
∙Hedgingeffectiveness
∙G14;
∙G15;
∙G18
Abstract
Thispaperexaminestheimpactofthedeterminationofstockclosingpricesonfuturespriceefficiencyandhedgingeffectivenesswithstockindicesfutures.Theempiricalresultsindicatethattheincreaseinthelengthofthebatchingperiodofthestockclosingcallimprovespriceefficiencyinthefuturesclosingpricesandthenenhanceshedgingperformanceintermsofthehedgingrisks.Additionally,fromautility-maximizationpointofview,hedgingperformancedoesnotimproveaftertheintroductionofthe5minstockclosingcall,whichcanbeexplainedbyanimprovementinpriceefficiencyatthefuturesmarketclose.
1.Introduction
Thispaperexaminestheimpactofthedeterminationofstockclosingpricesonfuturespriceefficiencyandhedgingeffectivenesswithstockindicesfutures.Hedgingeffectivenesshasbeenmarkedlyinformedbyfuturesliterature(seeYangandAllen,2004;Fernandez,2008;Hsuetal.,2008).Incontrast,anumberofrecentstudieshaveexaminedtheeffectsofthedeterminationofstockclosingpricesonmarketefficiency(seePaganoandSchwartz,2003;Aitkenetal.,2005;HuangandTsai,2008).PaganoandSchwartz(2003)indicatethatachangeinthedeterminationofstockclosingpricesmightaffectthederivativesmarkets.Inpractice,therelationshipbetweenstockandfuturesclosingpricesisunlikelytochangeovertimebecauseofarbitrageforces(Tong,1996).Hence,ifthedeterminationofstockclosingpricesaffectsmarketefficiencyinstockclosingprices,itmightthenhaveanimpactonfuturespriceefficiencyandhedgingperformance.However,nostudieshavebeenperformedtoinvestigatethisimpact.
On1July2002,theTaiwanStockExchange(TSE)expandedthelengthofthebatchingperiodofthestockclosingcallfrom30secto5mininanattempttoenhancethefairnessofstockclosingprices.Additionally,theTaiwanFuturesExchange(TAIFEX)closes15minlaterthantheTSE.Hence,thisinstitutionalchangeprovidesanopportunitytostudytheeffectonfuturesclosingpriceefficiencyandhedgingeffectiveness.
ArecentstudybyLeeetal.(2007)reportsthatanincreaseinthelengthofthebatchingperiodofthestockclosingcallaffectsthebehaviouroffuturesprices,specificallyindicatingthatreturnvolatilityandtradingvolumeincreasedafterstockmarketclosewhentheTSEexpandedthelengthofthebatchingperiodofthestockclosingcall.Furthermore,thestudyalsoshowsthatpre-closestockreturnshaveagreatimpactonextendedfuturesreturnswhenthebatchingperiodislong.However,theimpactofincreasingthelengthofthebatchingperiodofthestockclosingcallonfuturesclosingpriceefficiencyandhedgingeffectivenessisnotexamined,andthepresentstudyextendsuponthispreviousstudyandinvestigatesthisimpactwithstockindicesfutures.
Theempiricalresultsofthisstudyindicatethatthedeterminationofstockclosingpricesaffectsfuturespriceefficiencyandhedgingperformance.Specifically,theincreaseinthelengthofthebatchingperiodofthestockclosingcallimprovespriceefficiencyinfuturesclosingpricesandthenenhanceshedgingperformanceintermsofthehedgingrisksperspective.However,hedgingperformancewithrespecttoutility-maximizationdoesnotimprovewithalongerbatchingperiodofthestockclosingcall,whichcanbeexplainedbyanimprovementinpriceefficiencyatthefuturesmarketclose(seeFiglewski,1984).Theseempiricalresultsprovidepolicy-makerswithvaluableinformationontheimportanceoftheimpactofthedeterminationofstockclosingpricesonfuturesmarkets.
Theremainderofthisresearchisorganizedasfollows:
aliteraturereviewandhypothesesarepresentednext.Sections4and5describethedataandmethodologyusedinthispaper.Section6presentstheempiricalresultsandtheconclusionsarepresentedinSection7.
2.Literaturereview
Thedeterminationoftheoptimalhedgestrategyhasattractedconsiderableattentionfromfinancialeconometricians.Inthepublishedhedgeratioestimationliterature,theoptimalhedgeratioinastaticsenseisfullyaddressed.AstatichedgeratioproposedbyEderington(1979)isanordinaryleast-squaresregression-basedmethod.1Usingthismethod,Figlewski(1984)examinestheimpactofthedifferentsourcesofbasisriskonhedgingperformance,findingthathedgingdurationandtimetoexpirationaffectshedgingperformance.Thestudyalsosuggeststhatasthefuturesmarkethasdeveloped,overreactionoffuturespricestochangesinthespotindexhasdiminished.Nevertheless,Ederington's(1979)approachhasreceivedincreasingcriticism,particularlywithrespecttoaconstanthedgeratiothroughtime.
Previousstudieshavereportedthatatime-varyinghedgeratiocanenhancethedegreeofhedgeeffectivenessincomparisonwithastatichedgeratio.Toestimatethetime-varyinghedgeratio,recentstudiesusetheautoregressiveconditionalheteroscedastic(ARCH)andgeneralisedautoregressiveconditionalheteroscedastic(GARCH)-typemodelstocharacterizethebehaviourofhedgeratiosovertime.2Myers(1991)andBaillieandMyers(1991)indicatethatGARCH-typetime-varyingoptimalhedgeratiosoutperformconstanthedgeratios,andimplythatGARCHmodelsappearideallysuitedtoestimatingtime-varyingoptimalhedgeratios.3YangandAllen(2004)alsosuggestthattime-varyingGARCHhedgeratiosperformbetterthanconstanthedgeratiosintermsofminimizingrisks.Brooksetal.(2002)usetheasymmetricGARCHmodeltoestimatetime-varyinghedgeratios,findingthatthismodelgivesasuperiorin-samplehedgingperformance.Inarecentstudy,Hsuetal.(2008)introduceaclassofcopula-basedGARCHmodels,withouttheassumptionofmultivariatenormality,toestimatetime-varyinghedgeratios,findingthatdynamicconditionalcorrelation(DCC)GARCHmodelsperformmoreeffectivelythanconstantconditionalcorrelation(CCC)GARCHmodels,andcopula-basedGARCHmodelsoutperformotherdynamicmodels,intermsofhedgingeffectiveness.4,5
Ontheotherhand,thechoiceofmarketclearingfrequencyhasreceivedmuchattentioninthefieldofmarketmicrostructure.Previousstudieshavefoundthattheintroductionofaclosingcallcanenhancepriceefficiencyandreduceclosingpricemanipulation.AninfluentialpaperbyPaganoandSchwartz(2003)suggeststhattheintroductionofastockclosingcallisbeneficialtomarketquality,afterspecificallyexaminingEuronextParisandfindingthattheintroductionofaclosingcallreducesexecutioncostsandenhancespricediscovery.HillionandSuominen(2004)developanagency-basedmodeltoexplainthebehaviourofstockclosingprices,andindicatethattheintroductionofastockclosingcallcanreducemanipulationofclosingprices.
UtilizingdatafromtheAustralianStockExchange,Aitkenetal.(2005)suggestthattheclosingcallprovidesamechanismforconsolidatingliquidityandreducestransactioncosts.UsingdatafromtheSingaporeStockExchange,Comerton-Fordeetal.(2007)findthattheintroductionofopeningandclosingcallauctionscansignificantlyimprovepricediscoveryatopeningandclosing.Similarly,HuangandTsai(2008)reportthatadecreaseinmarketvolatilityandanincreaseinpriceefficiencywereachievedattheexpenseofadecreaseinmarketliquidityatthecloseoftradingdayswhentheTSEexpandedthelengthofthebatchingperiodofthestockclosingcall.
Insummary,previousstudieshavedevelopedvariousmodelstoestimateanoptimalhedgeratio.Additionally,recentresearchsuggeststhattheintroductionofastockclosingcallaffectsstockpricebehaviour.However,noresearchhasbeenperformedontheinfluenceofthedeterminationofstockclosingpricesonfuturespriceefficiencyandhedgingeffectiveness.Accordingly,thepresentstudyattemptstofillthisgap.
3.Theoreticalconsiderations
Anincreaseinthelengthofthebatchingperiodofthestockclosingcallcanimprovepriceefficiencyatthefuturesmarketcloseandenhancehedgingperformance.6HillionandSuominen(2004)proposethattheintroductionofastockclosingcallreducesthemanipulationofclosingprices,andHuangandTsai(2008)indicatethattheincreaseinthelengthofthebatchingperiodofthestockclosingcallintheTSEhaseffectivelyreducedmarketvolatilityatclosingandenhancedmarketefficiencybyreducingnoiseinstockclosingprices.Ontheotherhand,PaganoandSchwartz(2003)suggestthatthechangeinthedeterminationofstockclosingpricesmightaffectthederivativesmarkets.AssuggestedbyLeeetal.(2007),stockclosingpriceshavehadagreatimpactonextendedfuturestradingsincetheTSEexpandedthelengthofthebatchingperiodofthestockclosingcall.Hence,ifalongbatchingperiodofthestockclosingcallreducesstockmarketvolatilityandmanipulationofstockclosingprices,futuresclosingpriceswilltendtowardstheirintrinsicvalueswhenthebatchingperiodislong.Inthiscase,thehedgingriskwilldecreasebecauseofadecreaseinstockmarketvolatilityandareductionofmanipulationofstockandfuturesclosingprices.7
Accordingtotheabovearguments,thehypothesescanbestatedasfollows:
H1:
Anincreaseinthelengthofthebatchingperiodofthestockclosingcallcanimprovepriceefficiencyatthefuturesmarketclose.
H2:
Hedgingperformancewillbeenhancedafteranincreaseinthelengthofthebatchingperiodofthestockclosingcall.
4.Data
Dailyclosingpricesforthreefuturesin