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題名：期貨避險效率之研究
作者：張巧宜 引用關係
作者(外文)：Chiao-Yi Chang
校院名稱：國立中正大學
系所名稱：財務金融所
指導教授：莊益源
學位類別：博士
出版日期：2007
主題關鍵詞：基差；期貨；避險效率；basis；futures；hedging effectiveness
原始連結：連回原系統網址new window
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本論文由兩篇關於期貨避險效率的文章組成。以兩種不同的觀點切入，希冀能達到有效提高避險效率的目的。能完全降低價格波動風險之“完美避險”，必須符合現貨與期貨報酬完全正相關的前提，然而，現實世界中，期貨與其標的資產之關係往往不是如此。本文即應用不同的避險模型，以提高避險效率為目的來計算最佳避險比率。
第一篇文章比較了十一種不同的避險模型，並觀察在不同的能源期貨價格趨勢之避險效率。本文涵誘F以下避險模型： 迴歸模型, VECH模型, EWMA模型, Matrix-Diagonal model (MD) 模型, ECM-MD模型, BEKK模型, ECM-BEKK模型, constant conditional correlation GARCH (CCC) 模型, ECM-CCC模型,及State space 模型（包含Kalman-filter 及 Kalman smoother 兩種估計方法）。研究結果顯示，對能源期貨進行避險時，上升或下降價格趨勢具有明顯不同的避險效率，投資人在避險時應納入價格趨勢之考量。
第二篇則嘗試提出新模型，由於期貨價格為未來現貨之預期值，現貨與期貨兩者之價差（基差）包含重要資訊內涵，本文設計隨著基差大小而轉換避險比率大小之平滑轉換函數，觀察是否此動態避險能得到較佳避險效率。研究結果指出，本文之平滑轉換函數模型，與過去常被學者使用之多種避險模型（迴歸模型、BEKK、DVECH、CCC模型及DCC模型）相比，在不同的外匯期貨下，的確皆能得到較佳之避險效率。
This thesis consists of two essays dealing with issues related to the futures hedging effectiveness. There are two different aspects applied to observe the futures hedge to aim the same purpose. The requirement of “perfect hedge” is that the spot and futures prices are complete positive correlated. However, in reality the underlying assets returns and the futures returns is not completely positively correlated. As a result, hedge ratios calculated based on different models are always used for hedging purpose.
The first essay compares the hedging effectiveness of eleven models under different price trends. The models employed to evaluate optimal hedge ratio include: Regression model, VECH model, EWMA model, Matrix-Diagonal model (MD), ECM-MD, BEKK model, ECM-BEKK model, constant conditional correlation GARCH model (CCC), ECM-CCC, Kalman-filter model, and Kalman smoother model. All the models point out the same fact: the hedging effectiveness is different under upward or downward price trends regardless of the models we employed.
The results from the different evaluation methods indicate that investors should take account of the upward or downward price trends when they decide on their hedge portfolios.
The second essay tries to find a proxy for the unknown factor which affects the linkage between cash price and futures price. Because the futures price is the prediction value of the expected future cash price, the spread between the cash price and futures price, i.e., the basis, might contain important information. This paper incorporates the basis into the calculating of the optimal hedge ratio in an attempt for reducing the variance of portfolio formed by cash and futures.
Therefore, the second essay focuses on a new empirical model, STFB with TAR-GARCH, to improve futures hedging effectiveness. We suspect that the spreads between spot and futures prices are a proxy of unknown factors to adjust the optimal hedge ratio, and suggest a smooth transition function of basis (STFB) model to control the varying hedge ratio. In this essay, the STFB model outperforms the conventional model including linear regression, BEKK, DVECH, CCC GARCH, and DCC GARCH models.
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