Опционное хеджирование фондовых индексов: преимущества сигналов фундаментального и технического анализов

Экономика и математические методы. 2021. № 2. С. 106–120.

Лопушанский Д. И., Sokolova T., Teplova T.

The paper identifies country specific features of hedging strategies for stock indices. We propose the methodology of the optimization hedging parameters (the time of entering and exit, the type of an option strategy) based on the synthesis of technical (TA) and fundamental analysis (FA) indicators. Country differences in the design of the authors’ strategies are demonstrated on the tests for 20 stock indices in the period from 1980 to 2020. The research methodology is to optimize the parameters of hedging strategies for the each country on the training sample with checking the effect on the test sample. The Sharpe ratio is maximized. The originality of our paper is in the model
constructions for missing data series (index futures and put options) and testing both on historical data and on simulated data under two different assumptions about the behavior of the underlying asset price: the random walk model and the Markov-switching volatility model. For each country index, more than 18,000 combinations of parameters are analyzed. Our research shows that the synthesis of fundamental (FA) and technical analysis (TA) gives the best option hedging result. We reveal country peculiarities both in the preferences of FA and TA indicators and in the use of option strategies. The estimates on historical and simulated data allow us to draw a conclusion about the patterns in the dynamics of the stock index. The random walk hypothesis receives additional support for the US market. In the coronavirus situation, the proposed methodology allows investors to effectively hedge the risks of drawdown.

Keywords: хеджирование, timing, развивающиеся рынки капитала, Опционные стратегии, технический анализ, hedging, Фундаментальный анализ, developing markets, fundamental analysis, option strategies, developed markets, развитые рынки, technical analysis, stock indices, фондовые индексы, выбор времени хеджирования