Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul

Ryu Kang-min; Chang-Moo Lee

doi:10.15793/kspr.2014.82..007

In many conturies real estate is most valuable aseet. And house price are volatile and real estate exposure is not traded as easy and flexible as stock and bonds. These make houses risky assets. But there are no markets that would allow individuals and institutions to hedge their risks. The establishment of Insurance Commodity linked home price index is likely to hedge away large risk in housing market. Many housing owners can’t hedge their housing risk due to the lack of understanding in real estate derivatives market. We estimate the hedging effects to protect against the housing price changes using home price index. The result indicate that the hedge ratio is estimated almost 1:1 ratio, and hedging effectiveness is about 58%.

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* 2021년 이후 발행 논문의 참고문헌은 현재 구축 중입니다.

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