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題名:臺股指數期貨避險--存續期間效果、到期效果與穩定性之研究
書刊名:經濟研究. 臺北大學經濟學系
作者:王健聰 引用關係
作者(外文):Wang, Jan-chung
出版日期:2006
卷期:42:2
頁次:頁209-244
主題關鍵詞:最小變異數避險比率到期效果存續期間效果避險比率穩定性Minimum variance hedge ratioExpiration effectDuration effectHedge ratio stability
原始連結:連回原系統網址new window
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  • 共同引用共同引用:89
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本文首先探討投資人持有以臺幣計價摩根臺指組合,如果分別採用臺幣計價的TAIFEX臺股指數期貨以及採用美元計價SGX-DT摩根臺股指數期貨以進行避險,何種期貨避險工具有較佳之避險效益。其次,檢測避險存續期間與距期貨到期期間對於避險比率的影響。最後,則檢視避險比率是否隨時間經過而呈現穩定。實證結果如下:(1) 摩根臺指組合以美元計價SGX-DT期貨進行避險之避險效益優於TAIFEX期貨。(2) 兩種期貨均存在存續期間效果。(3) 兩種期貨避險比率均具穩定性。
This study first evaluates the relative hedging effectiveness of the TAIFEX futures and the US dollar denominated SGX-DT Taiwan index futures for managing the MSCI Taiwan index denominated in New Taiwan dollars. Second, this study investigates the impact of hedge duration and time to expiration of the contract on hedge ratios. Finally, the stability of hedge ratios through time is tested. The empirical results show that the SGX-DT futures contract is more effective than the TAIFEX futures contract for managing the MSCI Taiwan index. Second, this study finds that both hedge ratios and hedge effectiveness increase as hedge duration increases. Finally, this study also finds that hedge ratios are stable over time for the TAIFEX and the SGX-DT futures contracts.
期刊論文
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學位論文
1.黃一雄(2004)。股價指數期貨避險之研究--應用Bi-GARCH與Bi-EGARCH模型(碩士論文)。國立臺北大學。  延伸查詢new window
2.林威助(2003)。多變量GARCH架構下股價指數期貨避險策略之研究(碩士論文)。國立臺北大學。  延伸查詢new window
3.孫光政(2003)。台股指數期貨避險比率與效果之實證研究--VECM-E-GARCH與VECM-GJR-GARCH之應用(碩士論文)。國立臺北大學。  延伸查詢new window
4.陳衍龍(2004)。國際指數期貨市場避險與避險比率之研究(碩士論文)。國立交通大學。  延伸查詢new window
5.鄭文欽(1993)。股價指數期貨最適避險比率到期日效果之實証研究(碩士論文)。國立中央大學。  延伸查詢new window
 
 
 
 
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