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Publication date: 31 August 2017

Min-Goo Hong, Jeehye Kim and Kook-Hyun Chang

This paper examines the inflation hedging performance separated into expected and unexpected inflation in Korean equity funds. In particular, using the bootstrap approach, we…

44

Abstract

This paper examines the inflation hedging performance separated into expected and unexpected inflation in Korean equity funds. In particular, using the bootstrap approach, we identify whether the inflation hedging performance is based on skill or luck. We use the equity funds of the average net asset value (NAV) over 5 billion Korean won and over the 80% stock position. The sample data cover the period from January 2002 to March 2015. The main findings are as follows. First, most equity funds demonstrate a hedging performance against the unexpected inflation shock and this hedging performance seems to come from the fund manager’s skill. Second, our findings are robust across the sieve bootstrap results for the serial dependence and heteroscedasticity. Third, the equity funds have slightly different inflation hedging performances depending on their investment style. Among the investment styles, small-cap, growth, or small and growth style funds demonstrate more hedging performance against unexpected inflation shock. This hedging performance seems to come from the fund manager’s skill. Finally, in the case of the funds separated by winner and loser, the winner funds have more hedging performance for unexpected inflation shock than the loser funds.

Details

Journal of Derivatives and Quantitative Studies, vol. 25 no. 3
Type: Research Article
ISSN: 2713-6647

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Available. Open Access. Open Access
Article
Publication date: 31 May 2015

Min-Goo Hong and Kook-Hyun Chang

This study examines whether KOSPI200 intra-day return has jump risk and heteroscedasticity and we compare the estimation result of intra-day return and that of daily return. The…

11

Abstract

This study examines whether KOSPI200 intra-day return has jump risk and heteroscedasticity and we compare the estimation result of intra-day return and that of daily return. The sample covers from January 2, 2004 to July 31, 2014. We use 30-minute intervals for measuring KOSPI200 intra-day return. It seems this study finds the importance of the consideration of the intra-day data in Korean Stock Market. While some of the parameters of the daily returns for the jump are not significant, but those of intra-day returns are significant over the sample period. Also, the intra-day volatility has shown U-shaped or reverse J-shaped curve. In particular the pattern of intra-day volatility seems to come from the jump risk, which is interpreted as the information inflow in the market.

Details

Journal of Derivatives and Quantitative Studies, vol. 23 no. 2
Type: Research Article
ISSN: 2713-6647

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