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題名：交叉避險效果與共整合--以新臺幣為例
書刊名：證券市場發展季刊
作者：史綱／何中達 引用關係／黃一祥 引用關係
作者(外文)：Shyy, Gang／Ho, Chung-da／Huang, I-hsiang
出版日期：2001
卷期：13:1=49
頁次：頁31-62
主題關鍵詞：交叉避險效果；事前避險效果；避險期間；共整合；Cross-hedging effectiveness；Ex-ante hedging effectiveness；Hedging horizon；Cointegration
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:5
  • 點閱點閱:23
　　　　　本文以新臺幣即期匯率為避險標的，實證探討在交叉避險的情形，避險工具與避險標的現貨間有否存在共整合關係，對事前及事後避險效果的影響，以及避險期間與避險效果的關係。在具有共整合關係的交叉避險，我們發現事前及事後避險效果都很好，而且避險效果與避險期間成正向關係，和直接避險的結果一致。然而，當期貨與現貨不存在共整合關係時，事後與事前交叉避險效果都很低且不穩定，事後避險效果與避險期間無系統性關係，事前避險效果會隨著避險期間的增長而下降，此現象顯著不同於直接避險。在估計最低變異避險比率時，我們亦考量條件變異GARCH（1,1）模式，並且亦討論採新臺幣對美元的遠期匯率為避險工具之避險，結果與期貨避險並無顯著不同。
　　　　　This paper provides empirical evidence on the relationship between cross-hedging effectiveness, hedging horizon, and sports and futures are cointegration or not. We adopts three major currency futures traded in the International Money Market of the Chicago Merchantile Exchange and Taiwan new dollar forward to hedge the Taiwan new dollar. The results indicate that hedged asset and hedging device are cointegrated or not has important implications for cross-hedging effectiveness. In the case of spot prices and futures prices is cointegated, both the ex-post and the ex-ante cross-hedging effectiveness are stable and in highly performance. Moreover, the ex-post and ex-ante cross-hedging effectiveness are increase with hedging horizon. In the case of spot prices and futures prices is not cointegated, the ex-post and ex-ante cross-hedging effectiveness is low and is significantly different from each other. In addition, there is no systematical relation between the ex-post cross-hedging effectiveness and hedging horizon. The ex-ante cross-hedging effectiveness is negatively related to hedging horizon. The results of forward hedge is same as futures hedge.
期刊論文
1.Eaker, M. R.、Grant, D. M.(1987)。Cross-Hedging Foreign Currency Risk。Journal of International Money and Finance，6，85-105。  new window
2.臧大年(1993)。期貨避險比例之估計。證券市場發展，18，1-24。new window  延伸查詢new window
3.Anderson, Ronald W.、Danthine, Jean-pierre(1981)。Cross hedging。Journal of Political Economy，89(6)，1182-1196。  new window
4.Powers, M. J.(1970)。Does futures trading reduce price fluctuations in the cash markets?。American Economic Review，60，460-464。  new window
5.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review，43(3)，314-343。  new window
6.Hill, Joanne、Schneeweis, T.(1981)。A Note on the Hedging Effectiveness of Foreign Currency Futures。Journal of Future Markets，1(4)，659-664。  new window
7.Schwert, G. W.(1987)。Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data。Journal of Monetary Economics，20(1)，73-103。  new window
8.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。  new window
9.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
10.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
11.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance，34(1)，157-170。  new window
12.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies，27(3)，139-151。  new window
13.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
14.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
15.Benet, Bruce A.(1992)。Hedge Period Length and Ex-ante Futures Hedging Effectiveness: The Case of Foreign-exchange Risk Cross Hedges。The Journal of Futures Markets，12(2)，163-175。  new window
16.Dale, C.(1981)。The Hedging Effectiveness of Currency Futures Markets。The Journal of Futures Markets，1，77-88。  new window
17.Hill, Joanne、Schneeweis, T.(1982)。The hedging effectiveness of foreign currency futures。The Journal of Financial Research，5(1)，95-104。  new window
18.Pizzi, M. A.、Economopoulos, A. J.、O'Nell, H. M.(1998)。An Examination of the Relationship between Stock Index Cash and Futures Market: A Cointegration Approach。The Journal of Futures Markets，18(3)，297-305。  new window
19.李春華、林筠(1993)。最適避險比率估計方法之研究。證券市場發展季刊，5，110-131。new window  延伸查詢new window
20.黃一祥、王明隆(1994)。外匯期貨最適交叉衡抵：GARCH模式之應用。證券管理，12(12)，1-12。  延伸查詢new window
21.Aggarwal, R.、DeMaskey, A. L.(1997)。Using derivatives in major currencies for cross-hedging currency risks in Asia emerging markets。The Journal of Futures Markets，17，781-796。  new window
22.Braga, F. S.、Martin, L. J.、Meilke, K. D.(1989)。Cross hedging the Italian Lira/ US dollar exchange rate with Deutech mark futures。The Journal of Futures Markets，9，87-99。  new window
23.Gastineau, Gary L.(1995)。The currency hedging decision: A search for synthesis in asset allocation。Financial Analysts Journal，51，8-17。  new window
24.Leistikow, Dean、Ferguson, Robert(1998)。Are regression approach futures hedge ratios stationary?。The Journal of Futures Markets，18，851-866。  new window
25.Geppert, John M.(1995)。A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length。The Journal of Futures Markets，15，507-536。  new window
26.Grammatikos, T.、Saunders, A.(1983)。Stability and the hedging performance of foreign currency futures。The Journal of Futures Markets，3，295-305。  new window
27.Hardy, Charles O.、Lyon, Leverett S.(1923)。The theory of hedging。Journal of Political Economy，31，276-287。  new window
28.Urrutia, J. L.、Malliaris, A. G.(1991)。Tests of random walk of hedging ratio and measures of hedging effectiveness for stock indexes and foreign currencies。The Journal of Futures Markets，11，55-68。  new window
29.Malliaris, A. G.、Urrutia, J. L.(1991)。The impact of lengths of estimation periods and hedging horizon on the effectiveness of a hedge: Evidence from foreign currency futures。The Journal of Futures Markets，11，271-289。  new window
30.Perold, A. F.、Schulman, E. C.(1988)。The free lunch in currency hedging: Implications for investment policy and performance standards。Financial Analysts Journal，44(3)，45-52。  new window
31.Stein, J. L.(1961)。The simulaneous determination of spot and futures prices。The American Economic Review，51，1012-1025。  new window
32.Grossman, S. J.(1977)。The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities。The Review of Economic Studies，44(3)，431-449。  new window
會議論文
1.龔尚智、陳秋龍(1992)。外匯期貨交叉避險－變動參數模型。沒有紀錄。630-655。  延伸查詢new window
學位論文
1.岑蕙娟(1989)。匯率風險管理--期貨契約最適交叉避險之研究(碩士論文)。國立台灣大學。  延伸查詢new window
2.劉弘毅(1990)。如何運用外匯期貨來規避新臺幣兌美元的匯率風險，0。  延伸查詢new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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