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題 名 | 臺股指數期貨避險--存續期間效果、到期效果與穩定性之研究=Hedging with Taiwan Stock Index Futures: Duration Effects, Expiration Effects, and Hedge Ratio Stability |
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作 者 | 王健聰; | 書刊名 | 經濟研究. 臺北大學經濟學系 |
卷 期 | 42:2 民95.07 |
頁 次 | 頁209-244 |
分類號 | 561.76 |
關鍵詞 | 最小變異數避險比率; 到期效果; 存續期間效果; 避險比率穩定性; Minimum variance hedge ratio; Expiration effect; Duration effect; Hedge ratio stability; |
語 文 | 中文(Chinese) |
中文摘要 | 本文首先探討投資人持有以臺幣計價摩根臺指組合,如果分別採用臺幣計價的TAIFEX臺股指數期貨以及採用美元計價SGX-DT摩根臺股指數期貨以進行避險,何種期貨避險工具有較佳之避險效益。其次,檢測避險存續期間與距期貨到期期間對於避險比率的影響。最後,則檢視避險比率是否隨時間經過而呈現穩定。實證結果如下:(1) 摩根臺指組合以美元計價SGX-DT期貨進行避險之避險效益優於TAIFEX期貨。(2) 兩種期貨均存在存續期間效果。(3) 兩種期貨避險比率均具穩定性。 |
英文摘要 | This study first evaluates the relative hedging effectiveness of the TAIFEX futures and the US dollar denominated SGX-DT Taiwan index futures for managing the MSCI Taiwan index denominated in New Taiwan dollars. Second, this study investigates the impact of hedge duration and time to expiration of the contract on hedge ratios. Finally, the stability of hedge ratios through time is tested. The empirical results show that the SGX-DT futures contract is more effective than the TAIFEX futures contract for managing the MSCI Taiwan index. Second, this study finds that both hedge ratios and hedge effectiveness increase as hedge duration increases. Finally, this study also finds that hedge ratios are stable over time for the TAIFEX and the SGX-DT futures contracts. |
本系統中英文摘要資訊取自各篇刊載內容。