Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/20782
標題: Hedging Effectiveness of Taiwan Index Futures - Empirical Evidences from Electronics Sector and Finance Sector
台灣指數期貨避險績效-以電子及金融指數期貨為例
作者: 鄭羽軒
Cheng, Yu-Hsuan
關鍵字: Hedging effectiveness
避險效率
VECM
DCC-GARCH
向量誤差修正模型
DCC-GARCH模型
出版社: 企業管理學系所
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摘要: The paper examined the hedging effectiveness of optimal hedge ratios derived from four different models: ordinary least square model, a vector auto-regression, a vector error-correction model and a dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model. The hedged portfolio consisted of finance sector sub-index and finance sector index futures and electronics sector sub-index and electronics sector index futures. Daily observations covered the period 21 July 1999-31 December 2007. In both sectors for Taiwan sector index futures, hedge ratio derived from ordinary least square model provided greater risk reduction, whereas hedge ratio derived from DCC-GARCH model yielded higher utility. The results would be useful for risk managers dealing with Taiwan sector index futures.
本文應用了四個不同統計模型(回歸模型、VAR模型、VECM模型及雙變量GARCH模型)估計最適期貨避險比例,而進而根據此避險比例比較不同模型的避險績效。研究資料來源為台灣電子類股指數、台灣金融類股指數、台灣電子類股指數期貨及台灣金融類股指數期貨,其資料區間為1999年7月21日至2007年12月31號日資料。實證結果顯示,回歸模型避險比例在電子及金融指數能夠最佳的降低風險,而DCC-GARCH模型在電子及金融指數能夠最佳的提升效能。
URI: http://hdl.handle.net/11455/20782
其他識別: U0005-2906200818410900
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2906200818410900
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