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題名 | 單一期貨與多重期貨避險績效之比較--以國內共同基金為例=A Comparison of Hedging Effectiveness between Single Futures with Multiple Futures Contracts--An Analysis of Mutual Funds in Taiwan |
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作者 | 周建新; 于鴻福; 胡德榮; Chou, Jian-hsin; Yu, Hong-fwu; Hwu, Der-rong; |
期刊 | 管理與資訊學報 |
出版日期 | 20050600 |
卷期 | 10 2005.06[民94.06] |
頁次 | 頁21-49 |
分類號 | 563.538 |
語文 | chi |
關鍵詞 | 共同基金; 股價指數期貨; 多重避險; 避險績效; Mutual fund; Stock index futures; Multiple hedging; Hedging effectiveness; |
中文摘要 | 本研究以國內共同基金為現貨部位,驗證國內多重期貨契約之避險績效,是否較單一期貨,能提供較佳之避險績效,以作為機構投資者與基金經理人進行避險操作之參考準則。本研究以1999年7月21日至2002年12月31日為研究期間,以OLS與GARCH模型為研究方法,針對國內共同基金,應用國內臺股期貨、電子期貨及金融期貨等三種期貨契約;實證結果發現:(一)無論在OLS或GARCH模型之下,多重期貨避險確實能提高基金的避險績效,其中以三種期貨組合的避險效果最佳,二種期貨組合次之,單一期貨之避險效果最差;(二)股票型基金相較於債券型基金有較佳的避險績效;(三)就樣本外的避險績效而言,可發現在使用兩種期貨的組合中,以臺股期貨及電子期貨組合之避險績效最佳,較三種期貨組合而言,有較佳的避險績效,最主要的原因在於金融期貨的避險績效不佳,使得整體的績效降低之故;(四)不同種類基金的避險績效,並無太大的差異,其主要原因是臺灣的共同基金投資在股市方面,多集中電子業類股為主。 |
英文摘要 | This study uses the domestic mutual funds as the spot position and investigates the hedging effectiveness between single futures with multiple futures contracts. The empirical results have practical for the institutional investors and fund managers for hedging operation. The observation period is set between 21 July 1999, to 31 December 2002. Both the OLS model and GARCH model are used to compare the hedging effectiveness of three futures contracts, including weighted stock index, electronic sector index and financial sector index futures contracts trading in the TAIFEX. Empirical results indicate: (1) No matter under the OLS or the GARCH model, three futures combination has the best hedging effectiveness, followed by two futures combination, the single futures have the worst performance. (2) The hedging performance of stock type fund is better than bond type fund. (3) In out-of-sample hedging effectiveness, two futures combination composed of weighted stock index futures and electronic sector index futures has the best hedging effectiveness. (4) The hedging performances of different type of mutual funds are not significantly different, it could be attributed to most domestic mutual funds heavily invest the electronic industry stocks. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。