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1 () 24 SC ( ( 2

2 (99 Robert W. ogeldouglass C. North "for having renewed research in economic history by applying economic theory and quantitative methods in order to explain economic and institutional change" ( 3 ( 4 2

3 ( 5 (5) ( 6 3

4 ,7 ( ( 8 4

5 Delivery) ( 9 ( 5

6 ) ( ( 2 6

7 3 ( 3, ( 4 7

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9 ( 7 ( 8 9

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11 78)856) 86) 826) jpg ( ( 22

12 Lead-Lag ARCH,GARCH Wakita[2],Hamori, et al.[2] ( ,7 ( 24 2

13 853 ( 25 ( 26 3

14 4 ( ( 8 7 (

15 X Q % % ( 29 Maximize E u Π % = u Π% dg %, % Π % = Q + X = t = t Q X u = = ( ) = ( ) ( ) ( ) ( % ) ( % ) ( 3 5

16 ( * ) E u ( % )( % ) Π = ( % ) ( Π% ) (, ) SD) u Π = E % E M% % Q = E % E u = E % + Cov M% % ( 3 a Maximize E u Π = E Π Var Π 2 = E % + Cov M% % ( % ) % ( % ) (, ) ( ) ( ),( ) ( ) = E % a Var % X + Cov % % ( 32 6

17 ( % ) ( % ) ( % ) (( % ) ( % )) Minimize Var Π = Var X + Var Q QXCov, Cov (( % ),( % ) ) ( % ) ( %, % ) σ * X h = Q Var Cov = Var ρ ( % ) σ ( 33 2 R R 2 2 (, ) ( ) ( ) ( ) ( ) Cov % 2 2 % Var % 2 HE = R = r = = h Var % Var % Var % R 2 ( 34 7

18 ( h=,he= = Q> <(>) ( 35 a Maximize E u( Π % ) = E Π% Var ( Π% ) X 2 h= ( % ) ( ) (( % ),( % )) ( ) X Cov h = Q avar Var * E Q % %. (a) (Q )= ( ( 36 8

19 Howard and D'Antonio[984] ( 37 H) Working ( % ) ( % ) Π % = Q + X [988] (h) H 2 2 µ σ σ µ σ 2 h X µ σ σ µ σ = = µ σ µ h 2 + µ σ µ * * * Q ( 38 9

20 (H. H) h=h=h= H µ * X µ h= * = 2 Q σ 2 σ ( 39 (H 4. =E [ H=h H= µ σ 2 h= 2 = H h= µ σ ( 4 2

21 (H H 2 µ σ H if 2 µ σ ( 4 % % + = + R% = + R% % % + = + R% = + R% ( ) ( ) ( R ) ( R ) µ = E = + µ µ = E = + µ 2 2 ( ) ( % ) ( ) σ 2 2 ( ) ( % ) ( ) σ ( ( % ), ( % )) ( %, % ) σ = Var = Var + R = 2 R σ = Var = Var + R = σ 2 R = Cov + R + R = Cov R R = σ R R ( 42 2

22 h t X σ * t t RR 2 t t σ R = Q (t) H σ + µ R h σ µ R + + µ R h + µ R 2 R * 2 * X R * = Q ( ( 44 22

23 [988] [992] 5-2 ( 45 (( 24, Intraday Data ( 46 23

24 ( 47 ( 48 24

25 ( ARCH/GARCH ( 5 25

26 ( ( 5 (). 2. ( 52 26

27 ( 53 ( 54 27

28 H(h) - ( 55 ( 56 28

29 h(h ( 57 ( ( 58 29

30 ( ( 59 ( ( 6 3

31 Douglass C. North, The Economic Growth of the United States, 79-86, Norton, 966. Hamori, Shiegeyuki, Naoko Hamori and David A. Anderson. "An Empirical Analysis Of The Efficiency Of The Osaka Rice Market During Japan's Tokugawa Era," Journal of utures Markets, 2, v2(9,sep), Schaede, Ulrike. "orwards and utures In Tokugawa-eriod Japan: A Newerspective on The Dojima Rice Market," Journal of Banking and inance, 989, 3(4/5), (2)73-9 Ito, T., Seiki Dojima no kome sakimono shijo no kouritsusei ni tsuite (On the e.ciency ofthe rice futures market of Dojima in the 8th century). Keizai Kenkyu 44 (4), Wakita, Shigeru. "Efficiency of The Dojima Rice utures Market In Tokugawa-eriod Japan," Journal of Banking and inance, 2, 25(3,Mar), ( 6 Benninga, Simon, Rafael Eldor and Itzhak Zilcha. "The Optimal Hedge Ratio In Unbiased utures Markets," Journal of utures Markets, 984, 4(2), Howard, Charles T. and Louis J. D'Antonio. "A Risk-Return Measure Of Hedging Effectiveness," Journal of inancial and Quantitative Analysis, 984, 9(), -2. BrooksC., O.T. Henry, and G. ersand The Effect of Asymmetries on the Optimal Hedge Ratios. The Journal of Business, 22, 75, Eftekhari, Babak. "Lower artial Moment Hedge Ratios," Applied inancial Economics, 998, 8(6,Nov), Working, Holbrook. "New Concepts Concerning utures Markets and rices," American Economic Review, 962, 52(3), ( 62 3

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