by Kwan Wai Kwong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 89-92). / ABSTRACT --- p.1 / Chapter 1. --- INTRODUCTION --- p.2 / Chapter 2. --- LITERATURE REVIEW --- p.5 / Chapter 2.1 --- Traditional and Working's hedging theory --- p.5 / Chapter 2.2 --- Portfolio theory and hedging --- p.5 / Chapter 2.3 --- Selection of proper statistical estimation model --- p.7 / Chapter 2.4 --- StaTIonarIty of optimal hedge ratio --- p.8 / Chapter 2.5 --- time-varying hedging models --- p.9 / Chapter 3. --- MARKETS AND INSTRUMENTS --- p.13 / Chapter 3.1 --- Exchange Fund Bills --- p.13 / Chapter 3.1.1 --- Rationale --- p.13 / Chapter 3.1.2 --- Status and deployment of funds --- p.14 / Chapter 3.1.3 --- Form of Bills --- p.14 / Chapter 3.1.4 --- Pricing of the Bills --- p.15 / Chapter 3.1.5 --- Development of the secondary market --- p.15 / Chapter 3.1.6 --- Investors --- p.17 / Chapter 3.1.7 --- Reasons for the success of the Bills programme --- p.17 / Chapter 3.2 --- eurodollar futures contract --- p.18 / Chapter 3.3 --- Treasury bill futures contract --- p.19 / Chapter 3.4 --- Comparison between eurodollar and treasury bills futures --- p.20 / Chapter 4. --- RESEARCH METHODOLOGY --- p.22 / Chapter 4.1 --- DATA --- p.22 / Chapter 4.2 --- DEFINITION of hedging effectiveness and comparison criterion --- p.23 / Chapter 4.2.1 --- Definition of hedging effectiveness --- p.23 / Chapter 4.2.2 --- Comparison of ex-ante hedging performance --- p.24 / Chapter 4.3 --- Model description --- p.25 / Chapter 4.3.1 --- Conventional hedging model --- p.25 / Chapter 4.3.2 --- Error correction model (ECM) --- p.28 / Chapter 4.3.2.1 --- Unit root test --- p.29 / Chapter 4.3.2.2 --- Test of cointegration --- p.30 / Chapter 4.3.2.3 --- Construction of the error correction model (ECM) --- p.31 / Chapter 4.3.3 --- Time-varying hedging model --- p.32 / Chapter 4.3.3.1 --- Time-varying conditional hedging theory --- p.32 / Chapter 4.3.3.2 --- Test for the ARCH effect --- p.34 / Chapter 4.3.3.3 --- Bivariate ARCH(q) error correction model --- p.35 / Chapter 4.4 --- out-of-sample forecast --- p.37 / Chapter 4.4.1 --- Rolling samples against expanding sample --- p.37 / Chapter 4.4.2 --- Out-of-sample forecast without transaction cost --- p.37 / Chapter 4.4.3 --- Out-of-sample forecast with transaction cost --- p.39 / Chapter 5. --- DATA SUMMARY --- p.42 / Chapter 5.1 --- Preliminary analysis --- p.42 / Chapter 5.2 --- Unit root analysis --- p.43 / Chapter 5.3 --- Co-integration analysis --- p.44 / Chapter 6. --- EMPIRICAL RESULTS --- p.45 / Chapter 6.1 --- Model estimation --- p.45 / Chapter 6.2 --- Ex-ante hedging effectiveness with no transaction cost --- p.47 / Chapter 6.3 --- Ex-ante hedging effectiveness with transaction cost --- p.49 / Chapter 6.4 --- Summary and discussion on empirical findings --- p.50 / Chapter 6.4.1 --- Hedging superiority between the two futures contracts --- p.50 / Chapter 6.4.2 --- Magnitude of hedging performance --- p.51 / Chapter 6.4.3 --- Hedge ratio estimates --- p.56 / Chapter 6.4.4 --- Hedging effectiveness across investment horizon --- p.57 / Chapter 6.4.5 --- Model superiority --- p.57 / Chapter 7. --- CONCLUSION --- p.59 / APPENDIX --- p.84 / Chapter I) --- derivation of optimal hedge ratio under static hedging strategies --- p.84 / Chapter II) --- Derivation of optimal hedge ratios under dynamic hedging strategies --- p.85 / Chapter III) --- Causality test on the lead lag relationship between HKEFB and the two futures contracts --- p.87 / REFERENCES --- p.89
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_321876 |
| Date | January 1997 |
| Contributors | Kwan, Wai Kwong., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, iv, 92 leaves : ill ; 30 cm. |
| Coverage | China, Hong Kong, China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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