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A Study of Hedge Strategy on Taiwan 50 Index.
Hedging Strategy;Hedging Effectiveness;Hedge ratio;Error Correction Model;Noise
|Issue Date: ||2012-12-11 15:38:27 (UTC+8)|
|Abstract: ||This study chose TAIEX and FTSE TWSE Taiwan 50 Index representing Taiwan stock as hedge targets, centering on three futures: TX, MTX and T5F to investigate hedge strategy and performance with respect to spot price change in Taiwan. We consider that noise deal causes unexpected price fluctuation claimed by microstructure theory, the study used mean as proxy variable to eliminate the noise. Three models-Naïve, Ordinary Least Squares (OLS) and Error Correction Model (ECM) - was to compare original data and delete noise as well as estimate hedge ratio and its performance. The result indicated that return in a single day based on original data, the performance of hedge from TX and MTX under ECM model was the best, while Taiwan 50 Index was under OLS model which might result from deletion of noise from investment portfolio with long term data-orientation. In addition, 2-day/5-day/10-day simple moving average had their mean as proxy variable; OLS model had the best hedge performance while Naïve model was the worst. Also, 10-day simple moving average had the best hedge performance followed by 5-day and 2-day one, which meant mean performance was better than original data. Therefore, it is suggested that investors undergoing hedge shall consider the market impact caused by noise to improve hede performance and optimalize strategy.|
|Appears in Collections:||[金融與風險管理系(所)] 博碩士論文|
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