股票收盘价格的确定和股票指数期货套期保值性能.docx

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