깁스표집방식을 활용한 WTI 원유선물의 만기월별 헤징효과 분석
Analysis on the Hedging Effectiveness of Different Maturities of WTI Crude Oil Futures Using Gibbs Sampling Method
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초록
본 연구에서는 WTI 원유선물의 만기월별 가격자료를 활용하여 최소분산 헤지비율을 추정하고, 이를 근거로 만기월별로 헤징효과 차이가 통계적으로 유의한지를 검정한다. 헤징효과의 척도로서 헤징효율성과 샤프지수의 차이에 대해서는 깁스표집을 활용하여 사후분포를 도출하고, 이들 사후분포의 특성을 분석한다. 표본자료는 WTI 현물가격과 NYMEX의 3개 근월물 선물가격의 매주 금요일 가격자료를 사용한다. 표본기간은 1997년 1월부터 2007년 2월까지이다. 실증분석 결과에 따르면, 만기월에 상관없이 헤징기간이 길어질수록 헤지비율과 헤징효율성은 대체로 증가한다. 또한, 비교대상 만기월간 헤지비율의 차이와 헤징효율성의 차이는 통계적으로 유의한 것으로 나타난다. 하지만, 샤프지수 측면에서는 일정기간 이상의 헤징기간에서만 헤징효과의 차이가 존재한다.
Abstract
This study estimates the minimum variance hedge ratios of WTI crude oil futures prices with different maturities, and investigates whether the hedging effects among the hedging instruments are significantly different. Based on the Bayesian approach using a Gibbs sampling, the posterior distributions for the differences of hedging effectiveness and Sharpe ratio by instrument are derived, and the null hypothesis is tested by examining the characteristics of distributions. The sample is composed of weekly prices of every Friday for the spot and three nearby futures of NYMEX. The sample covers the period of January 1997 to February 2007. According to the empirical results, the hedge ratios and the hedging effectiveness of every hedging instrument generally increase as the hedging period expands. Also, the differences of hedge ratios and hedging effectiveness among the different maturities turn out to be statistically significant. However, the relative superiority among the hedging instruments in terms of Sharpe ratio turns out to be statistically significant only for the above certain period of time.
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