股票收盘价格的确定和股票指数期货套期保值性能.doc

Determination of stock closing prices and hedging performance with stock indices futures Keywords: Stock closing prices; Futures closing prices; Market efficiency; Hedging effectiveness G14; G15; G18 Abstract This paper examines the impact of the determination of stock closing prices on futures price efficiency and hedging effectiveness with stock indices futures. The empirical results indicate that the increase in the length of the batching period of the stock closing call improves price efficiency in the futures closing prices and then enhances hedging performance in terms of the hedging risks. Additionally, from a utility-maximization point of view, hedging performance does not improve after the introduction of the 5 min stock closing call, which can be explained by an improvement in price efficiency at the futures market close. 1. Introduction This paper examines the impact of the determination of stock closing prices on futures price efficiency and hedging effectiveness with stock indices futures. Hedging effectiveness has been markedly informed by futures literature (see Yang and Allen, 2004; Fernandez, 2008; Hsu et al., 2008). In contrast, a number of recent studies have examined the effects of the determination of stock closing prices on market efficiency (see Pagano and Schwartz, 2003; Aitken et al., 2005; Huang and Tsai, 2008). Pagano and Schwartz (2003) indicate that a change in the determination of stock closing prices might affect the derivatives markets. In practice, the relationship between stock and futures closing prices is unlikely to change over time because of arbitrage forces (Tong, 1996). Hence, if the determination of stock closing prices affects market efficiency in stock closing prices, it might then have an impact on futures price efficiency and hedging performance. However, no studies have been performed to investigate this impact. On 1 July 2002, the Taiwan Stock Exchange (TSE) expanded the length of the batching period of the stock closi