본 연구는 2003년 10월 30일부터 2006년 12월 31일까지 한국증권선물거래소(KRX: Korea Exchange)의 제조업지수에 대한 가격하락위험을 커버하기 위하여 KOSPI200지수선물시장을 이용한 교차헤지(cross hedge)전략에 관한 실증적 연구를 실시하였다. 이를 위하여 최소분산헤지모형과 VAR(vector autoregressive model)을 도입하였으며, 주요 실증분석결과는 다음과 같다.첫째, KOSPI200지수선물 및 제조업지수 수준변수에는 단위근(unit root)이 존재하는 불안정한 시계열로 나타났으나, 1차 차분된 수익률자료에는 단위근이 존재하지 않는 안정적인 시계열로 나타났다.둘째, KOSPI200 지수선물과 KRX 제조업지수 수준변수들간에 공적분관계가 존재하지 않는 것으로 나타났다.셋째, KOSPI200지수선물의 KRX 제조업지수에 대한 적정헤지비율을 추정한 결과, 최소분산헤지모형보다는 VAR 모형의 헤지비율이 상대적으로 높은 것으로 나타났다.넷째, 헤지성과분석결과 내표본기간(within sample period) 뿐만 아니라 외표본기간(out-of- sample period) 모두 최소분산헤지모형의 헤지성과가 VAR 모형의 헤지성과보다 상대적으로 더 나은 것으로 나타났다.이러한 실증분석결과는 기존의 국내 지수선물 및 외환선물시장에대한 헤지성과분석결과들과 일맥상통하고 있으며, 국내 제조업종에 대한 투자자들의 투자전략 및 가격변동 위험관리방안 마련에 도움을 줄 수 있을 것으로 보여진다.

We investigates the cross hedging performance of KOSPI200 stock index futures market against KRX manufacturing industry index. The sample period is covering from October 30, 2003 to December 31, 2006. For this purpose we employ both the traditional hedge model by Ederington(1979) and Johnson(1960) and VAR(4) model. The major empirical results are as follows; First, there is no unit root on the return series of KOSPI200 stock index futures and KRX manufacturing index. Second, We also find that there is no co-integration relationship between the level variables of KOSPI200 stock index futures and KRX manufacturing index. Third, the optimal hedge ratio of VAR model is relatively higher than that of OLS model. Finally, hedge performance of OLS model is much better than that of VAR model both within sample and out-of-sample period. From these empirical results, we infer that these empirical result will be helpful for the stock market investors to set up a investment and risk management system.

We investigates the cross hedging performance of KOSPI200 stock index futures market against KRX manufacturing industry index. The sample period is covering from October 30, 2003 to December 31, 2006. For this purpose we employ both the traditional hedge model by Ederington(1979) and Johnson(1960) and VAR(4) model. The major empirical results are as follows; First, there is no unit root on the return series of KOSPI200 stock index futures and KRX manufacturing index. Second, We also find that there is no co-integration relationship between the level variables of KOSPI200 stock index futures and KRX manufacturing index. Third, the optimal hedge ratio of VAR model is relatively higher than that of OLS model. Finally, hedge performance of OLS model is much better than that of VAR model both within sample and out-of-sample period. From these empirical results, we infer that these empirical result will be helpful for the stock market investors to set up a investment and risk management system.

KRX manufacturing index, KOSPI200 stock index futures, Cross hedge, OLS, VAR model