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題 名 | 交叉避險效果與共整合--以新臺幣為例=The Cross-hedging Effectiveness of Futures and Cointegration: The Case of Taiwan New Dollar |
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作 者 | 史綱; 何中達; 黃一祥; | 書刊名 | 證券市場發展季刊 |
卷 期 | 13:1=49 2001.04[民90.04] |
頁 次 | 頁31-62 |
分類號 | 561.76 |
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; |
語 文 | 中文(Chinese) |
中文摘要 | 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。 |
英文摘要 | 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. |
本系統中英文摘要資訊取自各篇刊載內容。