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題 名 | 外匯期貨與外匯選擇權避險之實證研究=The Empirical Research of Hedging Using Foreign Exchange Futures and Options |
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作 者 | 康信鴻; 繆俊華; | 書刊名 | 成功大學學報 |
卷 期 | 32(人文.社會篇) 民86.11 |
頁 次 | 頁103-128 |
分類號 | 563.2 |
關鍵詞 | 外匯期貨; 外匯選擇權; 最適避險比例; 最小變異數避險模式; DELTA避險; GAMMA避險; Foreign currency option; Optimal hedging ratio; Minimum variance hedging model; DELTA hedging; GAMMA hedging; |
語 文 | 中文(Chinese) |
中文摘要 | 面對多變的金融環境及多樣化的金融商品, 企業應該如何選擇投資工具以達到理 想的避險效果呢?本研究主要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, 加以篩選後,與選擇權的避險操作策略作比較。關於本研究的實證方法,在期貨避險方面是 採用最小變異避險模式,並針對異質異數與自我相關的問題作適當的檢測及修正。而在選擇 權市場的避險方面,則採用 DELTA 與 GAMMA 避險方法。實證對象以英鎊、馬克、法郎及日 圓為主,實證期間則取 1990 年 1 月至 1991 年 12 月之日資料。 至於本研究實證結果之 主要結論有: 1. 對於利用外匯期貨市場避險而言, 發現使用 Cochrane Orcutt 或 ARIMA 模型所估計的避險比例,所獲得的績效最好。 2. 對於利用外匯選擇權市場避險方面,使用 每日調整的 DELTA 避險方法估計避險比率時,所得到的效果會最好。 3. 在避險期間的長 度方面,發現避險期間越長,避險績效越差。 4. 但無論外匯現貨市場的走勢如何,採取避 險措施是可以減低原本承受的風險至相當程度的。 5. 實證的結果,顯示出採用外匯期貨為 避險工具,其獲得的避險績效要比採用外匯選擇權為避險工具來得好。 |
英文摘要 | How can enterprises choose their best investment tools in order to reach their ideal hedging results when facing this rapid-changing financial environment? These are reasons for this empirical research, which focus on selecting the best hedging strategy using futures to afterward compared to the hedging strategy using option. This empirical research will focus on selecting the best hedging strategy using futures to afterward compared to the hedging strategy using option. Concerning the empirical method used in this research, the hedging using futures adapts the least variance hedging model with appropriate tests and corrections in heteroskedasticity and autocorrelated problems. The hedging using options adapts the Delta& Gamma hedging method and uses Sterling pounds, Deutsche mark, France franc, and Japanese Yen as currencies of consideration, limits the research dates from Jan., 1990 to Dec., 1991. Major conclusions of this empirical research are: 1. Concerning hedging using foreign exchange market, the result of the predicted hedging proportion is the best when adapting the Cochrane Orcutt or ARIMA model. 2. Concerning hedging using xchange option market, the result of the predicted hedging proportion is the best when adapting the daily-adjusted Delta hedging method. 3. Concerning the length of the hedging period, it was discovered that the longer the period is, the worsen the result is. 4. Independent the trend of the foreign exchange market, the use of the hedging strategies can reduce the original risk to a significant proportion. 5. the performance of hedging using foreign exchange future is better than hedging using foreign using foreign exchange option. |
本系統中英文摘要資訊取自各篇刊載內容。