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題名:KD及MACD在避險時機之應用:以臺指期貨避險為例
書刊名:東吳經濟商學學報
作者:許溪南何怡滿 引用關係劉泰山
作者(外文):Hsu, HsinanHo, EmilyLiu, Tai-shan
出版日期:2011
卷期:72
頁次:頁109-138
主題關鍵詞:避險時機權變避險模式技術指標KD & MACDHedging timingContingent hedging modelTechnical indexes
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(6) 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:3
  • 共同引用共同引用:4
  • 點閱點閱:113
過去的避險文獻大多著重於最適避險比率之衡量及避險績效之比較,然而,一個成功的避險必須包含避險時機、避險工具及避險比率等三部分,尤其避險時機之選擇極為重要,卻鮮少有文獻著墨。本文提出之修正權變避險模式即包含這三部分,讓現貨避險者有一完整的參考。本文之主要目的為應用KD及MACD技術指標於避險時機之選擇,並以週及月資料計算KD及MACD,藉以改善日資料計算指標值,易造成進出頻繁,不適於法人操作的缺點。本研究以台灣加權股價指數視為現貨組合,並以台灣加權股價指數期貨之近月、次月及遠月份合約作為避險工具。研究結果顯示,無論是否考慮交易成本,改良後的權變避險模式之報酬率都遠大於買進持有策略,而且以週資料計算KD及MACD之績效優於月資料。修正後的權變避險模式易於執行,對避險實務提供一個具體可行的策略,不僅適用於避險者亦適用於投資人。
Most of the previous empirical literature on hedging focused on the estimation of hedge ratios and the comparison of hedging performance. However, a successful hedge must include three important elements: hedging timing, hedging instruments, and the optimal hedge ratio. In particular, the choice of the hedging timing is extremely important but is rarely discussed in the literature. In this study, a modified contingent hedging model containing the three parts will provide a complete and useful reference for hedgers. The purpose of this paper is to apply the KD & MACD technical indices in the timing of hedging. Weekly and monthly price data are used to calculate the values of KD & MACD to improve the shortcoming of frequent trading, resulting from using daily data, which is not suitable for institutional investors. In this study, the TAIEX is used as a well-diversified portfolio to be hedged, and the TAIEX futures contracts are used as the hedging instruments. The empirical results show that the KD & MACD combination using both weekly and monthly data to determine the hedging timing greatly outperforms the buy-and-hold strategy no matter whether transaction costs are included or not. Furthermore, KD & MACD values calculated using weekly data outperform those by using monthly data. The modified contingent hedging model with the merit of easy implementation is valuable for the hedging and investment 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.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1981)。The Relation between Forward Prices and Futures Prices。Journal of Financial Economics,9,321-346。  new window
3.Lo, Andrew W.、Mamaysky, Harry M.、Wang, Jiang(2000)。Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation。Journal of Finance,55(4),1705-1765。  new window
4.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review,43(3),314-343。  new window
5.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
6.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
7.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
8.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
9.Kenourgios, D.、Samitas, A.、Dorsos, P.(2008)。Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract。International Journal of Risk Assessment and Management,9(1/2),121-134。  new window
10.Bessembinder, Hendrik、Chan, Kalok(1995)。The Profitability of Technical Trading Rules in the Asian Stock Markets。Pacific-Basin Finance Journal,3(2/3),257-284。  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.許溪南、何怡滿、劉玉琦(20090200)。權變避險模式在臺灣股市之應用。臺灣管理學刊,9(1),23-46。new window  延伸查詢new window
14.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
15.Marshall, B.R.、Cahan, R. H.、Cahan, J. M.(2008)。Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies?。Journal of Banking and Finance,32(9),pp.1810-1819。  new window
16.Park, T. H.、Switzer, L.N.(1995)。Time-varying Distributions and the Optimal Hedge Rations for Stock Index Futures。Applied Financial Economics,5(3),pp.131-137。  new window
17.Kahl, K. H.(1983)。Determination of the Recommended Hedging Ratio。American Journal of Agricultural Economics,65(3),pp.603-605。  new window
會議論文
1.Casillo, A.(2004)。Model Specification for the Estimation of the Optimal Hedge Ratio whit Stock Index Futures: An Application to the Italian Derivatives Market。  new window
研究報告
1.Hsu, Hsinan(2007)。Portfolio Insurance as a Long-Term Asset Management Strategy。  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.林天運(2007)。大盤未來走勢預測--KD指標的實證分析(碩士論文)。國立成功大學。  延伸查詢new window
3.陳怡伶(2004)。台灣50 ETF與台灣加權股價指數現貨與台指期貨間的價格關聯性研究(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.黃光廷(2002)。技術分析、基本分析與投資組合避險績效之研究(碩士論文)。國立成功大學。  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.劉玉琦(2006)。權變避險模式在台灣股市之應用(碩士論文)。南台科技大學。  延伸查詢new window
8.周怡貞(2004)。台灣進出口商最適避險時機之探討─以新臺幣對美元為例。成功大學。  延伸查詢new window
9.莊盛旭(2004)。投資股市最適避險比率。朝陽科技大學。  延伸查詢new window
10.紀岱良(2008)。台灣加權指數與技術指標之關連分析。東華大學。  延伸查詢new window
11.徐松奕(2003)。以技術指標對臺灣加權股價期貨指數報酬之研究。東華大學。  延伸查詢new window
12.黃怡中(2002)。不同技術指標交易策略下停損機制設置與否之績效分析。銘傳大學。  延伸查詢new window
 
 
 
 
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