Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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A Study on the Strategies of Hedging System Trading Using Single-Stock Futures

개별주식선물을 이용한 시스템트레이딩 헤징전략의 성과분석

  • 김선웅 (국민대학교 비즈니스IT전문대학원) ;
  • 최흥식 (국민대학교 비즈니스IT전문대학원) ;
  • 김남현 (국민대학교 비즈니스IT전문대학원, 아바커스시스템(주))
  • Received : 2014.02.21
  • Accepted : 2014.03.21
  • Published : 2014.03.31
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Abstract

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

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References

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