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標題: Hedging Effectiveness of Taiwan Index Futures - Empirical Evidences from Electronics Sector and Finance Sector
作者: 鄭羽軒
Cheng, Yu-Hsuan
關鍵字: Hedging effectiveness
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.
其他識別: U0005-2906200818410900
Appears in Collections:企業管理學系所



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