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Hedging Effectiveness of Taiwanese Stock Index Futures: Asymmetric Hedging Performance of Bull and Bear Markets

Tang, Kin Boon

Assistant Professor

2019

Taiwan Fellowship Scholar

Field of Study:

No:

Date:2020/5/29

Abstract:

This study examines the asymmetric performance of hedging strategies between bull and bear markets. The study is driven by the presence of asymmetric covariance of spot-futures as a result of market trends. Using the Taiwanese stock index futures data, our results reveal that (1) hedging effectiveness of Taiwanese index futures is better in the bull market than in the bear market, and (2) highest hedging effectiveness is of OLS which place it in most-effective hedging model in terms of risk reduction. This study provides evidence for investors to adjust their hedging strategies using different hedging models in response to different market conditions.