Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model

摘要

The higher moments of hedged portfolio returns often influence the calculation of value-at-risk (VaR). To establish future short and long hedged portfolios, this study proposes a new modified VaR model, an expected utility maximization (EUM) subject to the modified VaR of higher moments (EUM-MVaR) of stock index futures in markets in greater China. EUM-MVaR has the greatest hedging effectiveness in determining hedged portfolios, while the minimum variance (MV) model had the least hedging effectiveness; the consideration of higher moments of a hedged portfolio return is more effective than non-consideration in determining the hedging effectiveness.