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Please use this identifier to cite or link to this item: http://ir.lib.stu.edu.tw:80/ir/handle/310903100/3190

Title: 台股指數及櫃買指數最適避險比率之探討
台股指數及櫃買指數最適避險比率之探討
Authors: 盧宥同
You-Tung Lu
Contributors: 金融與風險管理系碩士班
吳如萍(Ru-Pin Wu)
Keywords: 避險策略、避險績效、避險比率、雜訊
hedging performance、hedging effectiveness、hedge ratio、noise
Date: 2013
Issue Date: 2013-05-24 16:35:19 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融與風險管理系碩士班]
Abstract: 本研究選取台灣加權股價指數及櫃買指數,作為避險之現貨標的,利用大台
指、小台指及櫃買期三項期貨商品,對於整體台灣股市現貨之價格變動,進行相
關避險策略及避險績效之探討,以作為市場股票投資者進行避險策略之重要依
據,而期貨與現貨市場中各自之雜訊可能影響避險比率之估計及績效,因此,本
研究以每日、兩日均、五日均及十日均報酬率作為去除雜訊的代理變數,利用
NAIVE模型、OLS模型及ECM模型三種避險策略,分別對期貨與現貨市場中之原
始報酬率資訊與去除雜訊之資訊進行避險比率之估計及避險績效之比較,結果顯
示,在原始資料之每日報酬績效中,大、小台指多以ECM模型之避險績效最佳,
然櫃買期則以ECM模型之避險績效最佳,就各均數作為去除雜訊之代理變數中,
發現為ECM模型避險績效為佳,Naïve方式則最差,並且呈現五日均避險績效最
佳,且去除雜訊之任何均數均較原始訊息之避險績效為佳,因此,本研究建議投
資人從事避險交易時,考量雜訊對市場之衝擊,可增進其避險績效,達到更佳之
避險策略的效果。
The study uses Taiwan Stock Exchange Capitalization Weighted Stock Index
(TAIEX) and Gre Tai Securities Market Capitalization Weighted Stock Index (GTEX)
as the spot contracts for hedge funds. In particular, the study discusses price changes,
hedging strategies and hedging effectiveness of the spot market in Taiwan using Taiwan
Stock Index Futures, Mini Index Futures and GreTai Securities Market Stock Index
Futures as the study sample in order to shed lights on the hedging strategy
implementation for stock investors as well as the impact of noise on the estimation and
performance of the hedging ratio in the futures and spot markets. To achieve this, the
study uses daily, two-day, five-day, and ten-day average returns as the proxy variables
for noise removal by applying the hedging strategies of NAIVE model, OLS model and
ECM model to estimate the hedge ratio for the raw returns information of the futures
and spot markets as well as its effectiveness. The results show that ECM model was
found to be optimal for all study sample (Taiwan Stock Index Futures, Mini Index
Futures, and GreTai Securities Market Stock Index Futures) in the daily returns of the
raw information.Among all proxy variables with noise removed, it was found that the
ECM models had the best hedging effectiveness overall whereas the NAIVE model had
the worst. In addition, it was found that the five-day average returns had the best
performance and that all average returns with noise removal performed better than the
raw returns information. The study suggests that stock investors take the impact of noise
into consideration when purchasing hedge funds in order to elevate the hedging
effectiveness and optimize the performance of hedging strategies.
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

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