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@article{ART001912971},
author={Ryu Kang-min and Chang-Moo Lee},
title={Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2014},
volume={82},
pages={97-106},
doi={10.15793/kspr.2014.82..007}

TY - JOUR
AU - Ryu Kang-min
AU - Chang-Moo Lee
TI - Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul
JO - The Korea Spatial Planning Review
PY - 2014
VL - 82
IS - null
PB - 국토연구원
SP - 97
EP - 106
SN - 1229-8638
AB - 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%.
KW - Insurance Commodity;Traded House Price Index;Hedge Ratio;Hedging Effectiveness
DO - 10.15793/kspr.2014.82..007
ER -

Ryu Kang-min and Chang-Moo Lee. (2014). Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. The Korea Spatial Planning Review, 82, 97-106.

Ryu Kang-min and Chang-Moo Lee. 2014, "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul", The Korea Spatial Planning Review, vol.82, pp.97-106. Available from: doi:10.15793/kspr.2014.82..007

Ryu Kang-min, Chang-Moo Lee "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul" The Korea Spatial Planning Review 82 pp.97-106 (2014) : 97.

Ryu Kang-min, Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. 2014; 82 97-106. Available from: doi:10.15793/kspr.2014.82..007

Ryu Kang-min and Chang-Moo Lee. "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul" The Korea Spatial Planning Review 82(2014) : 97-106.doi: 10.15793/kspr.2014.82..007

Ryu Kang-min; Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. The Korea Spatial Planning Review, 82, 97-106. doi: 10.15793/kspr.2014.82..007

Ryu Kang-min; Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. The Korea Spatial Planning Review. 2014; 82 97-106. doi: 10.15793/kspr.2014.82..007

Ryu Kang-min, Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. 2014; 82 97-106. Available from: doi:10.15793/kspr.2014.82..007

Ryu Kang-min and Chang-Moo Lee. "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul" The Korea Spatial Planning Review 82(2014) : 97-106.doi: 10.15793/kspr.2014.82..007