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題名:權變避險模式在臺灣股市之應用
書刊名:臺灣管理學刊
作者:許溪南何怡滿 引用關係劉玉琦
作者(外文):Hsu, His-nanHo, EmilyLiu, Yu-chi
出版日期:2009
卷期:9:1
頁次:頁23-46
主題關鍵詞:權變避險模式濾嘴法則避險績效Contingent hedging modelFilter ruleHedging performance
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(5) 博士論文(0) 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:0
  • 點閱點閱:53
過去對於利用期貨交易來規避價格變動風險的相關文獻,大多著重於以不同估計模型求出最適避險比率,或者對其避險績效進行比較。然而,即使是一個優良的避險模型,也必須在適當的時機進場,才能有最佳的避險績效。因此,本文對於避險的課題提出一個全面性考量的策略模式,稱之為權變避險模式,該模式包含避險時機與避險工具的選擇兩部分。本文以台灣股市為研究對象,探討使用權變避險模式進行避險的績效。研究結果顯示,普遍來說,權變避險模式的避險績效優於全面避險模式。權變避險模式兼具傳統避險理論 (風險消除) 與選擇性避險理論 (利潤極大化) 的優點,因此,本文所提出之權變避險模式不僅在避險理論方面具有創見,且對於避險實務亦提供一個具體可行的方法。
Previous literature on hedging focused on the calculation of the optimal hedge ratios under different models, or the comparison of the hedging performance among different models. Without consideration of suitable hedging timing, the hedging may not be the most effective. In this study, an integrated hedging strategy model, called the contingent hedging model, which includes the selections of hedging timing and hedging instruments, is recommended. This study uses the data of Taiwan stock market to investigate the effectiveness of the contingent hedging model. Results indicate that the hedging performance of contingent hedging model is better than that of overall hedging model. The contingent hedging model owns the merits of both the traditional hedging theory (risk elimination) and selective hedging theory (profit maximization). Thus, the contingent hedging model is not only an innovation in hedging theory, but also provides a feasible solution to hedging practice.
期刊論文
1.Working, H.(1962)。New Concepts Concerning Futures Markets and Prices。The American Economic Review,52(3),431-459。  new window
2.Park, Tae H.、Switzer, Lorne N.(1995)。Time-Varying Distributions and the Optimal Hedge Ratios for Stock Index Futures。Applied Financial Economics,5(3),131-137。  new window
3.Kahl, K. H.(1983)。Determination of the Recommended Hedging Ratio。American Journal of Agricultural Economics,65(3),603-605。  new window
4.Lo, A.、Mamaysky, H.、Wang, J.(2000)。Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementations。Journal of Finance,55,1705-1770。  new window
5.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review,43(3),314-343。  new window
6.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
7.Sweeny, R. J.(1988)。Some New Filter Rule Test: Methods and Results。Journal of Financial and Quantitative Analysis,23,285-300。  new window
8.Corrado, C. J.、Lee, S. H.(1992)。Filter Rule Tests of the Economic Significance of Serial Dependencies in Daily Stock Return。Journal of Financial Research,15(4),369-387。  new window
9.Howard, Charles T.、D'Antonio, L. J.(1984)。A Risk-Return Measure of Hedging Effectiveness。Journal of Financial and Quantitative Analysis,19(1),101-112。  new window
10.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
11.Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance,47(5),1731-1764。  new window
12.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
13.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
14.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
15.Alexander, Sidney S.(1961)。Price Movements in Speculative Markets: Trends or Random Walks。Industrial Management Review,2(2),7-26。  new window
16.黃怡芬(2001)。「道氏理論、濾嘴法則與買入持有策略在台灣股市投資績效之比較」。成功大學企業管理研究所碩士論文。  延伸查詢new window
17.Alexander, S. S.(1961)。“Price Movements in Speculative Markets: Trends or RandomWalks,”。Industrial Management Review,7-26。  new window
18.Chordia, T. and B. Swaminathan(2000)。“Trading Volume and Cross-Autocorrelationin Stock Returns,”。Journal of Finance,55,913-935。  new window
19.Chordia, T.、Swaminathan, B.(2000)。Trading Volume and Cross-Autocorrelation in Stock Returns。Journal of Finance,55,913-935。  new window
學位論文
1.溫曜誌(1999)。「以SIMEX 台股指數期貨規避台灣股價指數風險之研究」。  延伸查詢new window
2.周怡貞(2004)。台灣進出口商最適避險時機之探討--以新台幣對美元為例(碩士論文)。國立成功大學。  延伸查詢new window
3.蔡瀚賢(2001)。成交量放大訊號及技術指標綜合策略在台灣股市之實證研究(碩士論文)。國立成功大學。  延伸查詢new window
4.賴昌作(2000)。股價指數期貨之避險比率與避險效益(碩士論文)。國立台灣科技大學。  延伸查詢new window
5.江文強(1997)。股價指數期貨避險效果之研究(碩士論文)。國立交通大學。  延伸查詢new window
6.林義祥(1998)。基金避險與台股指數期貨--比較各計量模型之避險績效(碩士論文)。淡江大學。  延伸查詢new window
7.周怡貞(2004)。台灣進出口商最適避險時機之探討--以新台幣對美元為例。成功大學。  延伸查詢new window
8.黃怡芬(2001)。道氏理論、濾嘴法則與買入持有策略在台灣股市投資績效之比較。成功大學。  延伸查詢new window
 
 
 
 
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