본문 바로가기
  • Home

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

Ryu Kang-min 1 Chang-Moo Lee ORD ID 1

1한양대학교

Accredited

ABSTRACT

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%.

Citation status

* References for papers published after 2022 are currently being built.