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Please use this identifier to cite or link to this item: http://ir.lib.stu.edu.tw:80/ir/handle/310903100/3119

Title: 台灣股價指數期貨最適避險比率之探討
A Study on the Hedging of Futeres Market in Taiwan
Authors: 邱聖丰
Sheng-Feng Chiu 邱聖丰
Contributors: 金融與風險管理系碩士班
吳如萍
Keywords: 避險績效;避險比率
Hedging Effectiveness;Hedge ratio;Error Correction Model
Date: 2012
Issue Date: 2012-12-11 15:38:27 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融與風險管理系碩士班]
Abstract: 衡量股價指數期貨避險比率為投資者從事避險策略時的關鍵因素,然而雜訊去除後,是否能更加求得最適避險比率,為研究之主要目標,本文以台股指數期貨、小型台股指數及非金電指數期貨為主要避險工具之研究實證對象,以傳統的Naive模型、OLS模型及ECM模型等三種避險模型,分析最適之避險比率。結果顯示,在未去除雜訊之每日股價報酬估計之避險比率中,不論哪種避險商品,均以ECM模型估計之績效最佳,其因為在每日動態避險中,僅ECM模型考量長期資訊,而若以兩日、五日、及十日平均值作為去除雜訊之代理變數後,OLS及ECM模型之績效則表現接近,然而避險績效則以十日平均值之績效為最佳,且去除雜訊越多,亦即取平均值之日數越長,則表現之績效則越佳,因此利用去除雜訊後之訊息,進行相關避險比率之估計,其績效更佳。
Stock index future is one of the key tool for investors who are engaged in Hedging strategy. However, the main goal of studying is to gain the best Hedging ratio.We set Taiex Futures,Mini-Taiex Futures and Non-Finance Non-Electronics Sub-Index Futures as research objectives by using traditional Naïve Hedge model, OLS model and ECM model to analyze best Hedging ratio. The result shown no matter which kind of Hedge commodity after removing Noise in daily stock reward of Hedging ratio, ECM is the best in performance. The reason is because in daily Dynamic hedge ratio, ECM model considers long term information. If we take 2-day, 5-day or 10-day mean as proxy after removing Noise, OLS and ECM are quite close in performance. However, Hedging performance has best 10-days performance especially after removing more Noise. Meanwhile, the longer we take average in days, the better the performance is. Therefore, using removing Noise is the best in performance to estimate related Hedging ratio。
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

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