由於全球金融服務業市場的成長及金融環境的多變，在多樣化的金融商品中，最 常為企業使用的避險工具主要為期貨避險。因此本研究之主要目的在於探討各種期貨避險策 略中，何者具有比較好的避險效果。 本研究實證方法是採用最小變異數避險模式，並針對異質變異數與自我相關的問題作檢測及 修正。實證對象以英鎊、馬克、法郎及日圓之匯率為主，實證期間取1990年1月至1991年12 月之日資料。至於本研究實證結果主要有： 1.對於利用外匯期貨市場避險，大致而言使用Cochrane Orcutt或ARIMA模型所估計的避險比 例，所獲得的績效最好。而且，採用日圓期貨與瑞士法郎期貨時，當避險期間比較長，應該 優先考慮ARIMA模型；反之則使用Cochrane Orcutt反覆法來估計。 2.在避險期間的長度方面，我們發現，要利用外匯期貨這類衍生性金融商品來避險時，應該 對短期的避險操作上比較有效。 3.無論外匯期貨的走勢如何，採取避險可以減低原本承受的風險至相當程度。 4.不同通貨所得到的績效雖然不完全一致，但是避險策略的效果確實是存在。

　　　　　Due to the growth of the global finance-service market and this rapid-changing financial environment and varied financial products, it is usual for enterprises to adapt the hedging strategies using futures. The objective of this research is to discuss the selection of the best hedging strategy. The empirical model adapted by this research is the minimum variance hedging model with appropriate tests for autocorrelation and heteroskedasticity. This empirical research uses Pounds sterling, Deutsche mark, France franc, and Japanese Yen as currencies of consideration, limits the research period from Jan., 1990 to Dec., 1991. Major conclusions of this empirical research are. 1. Concerning the hedging strategy using foreign exchange futures, it is usual are the best when using the predicted hedging ratio of the Cochrane Orcutt or ARIMA model. 2. Concerning the hedging strategy using derivatives such as exchange rate, it was discovered that the short-period hedging strategy shows better results. 3. Independent the trend of the foreign exchange market, the use of the hedging strategies can reduce the original risk to a significant proportion. 4. Although results from different currencies are not totally consistent, effects of hedging methods do really exist.