서지주요정보
金融先物市場의 헷 징理論 및 韓國導入妥當性 硏究 = A study on the hedging theory of financial futures market and the feasiblity of introduction to Korea
서명 / 저자 金融先物市場의 헷 징理論 및 韓國導入妥當性 硏究 = A study on the hedging theory of financial futures market and the feasiblity of introduction to Korea / 任宗淳.
저자명 임종순 ; Im, Jong-Soon
발행사항 [서울 : 한국과학기술원, 1985].
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4103368

소장위치/청구기호

학술문화관(문화관) 보존서고

MMGS 8532

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초록정보

The purposes of this study are to investigate the hedging theory of financial futures market and examine the feasibility of introduction to Korea. In the case study on the bond-portfolio hedging of institutional investors, several hedging strategies are tested, including naive hedge and conversion factor hedge, long-term hedge and short-term hedge, and long-term contract and short-term contract. The hedge results are evaluated by two criteria of return effectiveness and risk effectiveness. The results indicate that every hedged position reduced significantly the risks of unhedged position. Among several strategies, conversion factor hedge, long-term hedge, and long-term contract show the superiority in hedging effectiveness. In the feasibility study of introducing financial futures market to Korea, the yield correlations among various long and short-term financial instruments are analyzed by regression analysis to select the underlying instrument for futures contract. The result is that the yields of those financial instruments are highly correlated, which satisfies the most significant criterion for being underlying instruments for futures contract. These findings suggest that Korean financial market has some essential condition for introducing financial futures market. But further studies are required for actual introduction including institutional aspects.

서지기타정보

서지기타정보
청구기호 {MMGS 8532
형태사항 vi, 139 p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Jong-Soon Im
지도교수의 한글표기 : 장충식
지도교수의 영문표기 : Choong-Sik Chang
학위논문 학위논문(석사) - 한국과학기술원 : 경영과학과,
서지주기 참고문헌 : p. 127-137
주제 Stock exchange.
Portfolio management.
Futures.
Hedging (Finance)
재무 관리. --과학기술용어시소러스
주식 시장. --과학기술용어시소러스
포트폴리오. --과학기술용어시소러스
Finance.
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