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題名 | 組合保險策略之有效性與股市波動性=The Performance of Portfolio Insurance Methods and Market Volatility |
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作者 | 劉德明; 賴美君; Lieu, Derming; Lai, Julietta; |
期刊 | 證券櫃檯 |
出版日期 | 20011200 |
卷期 | 66 2001.12[民90.12] |
頁次 | 頁1-30 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 組合保險; 股市; |
中文摘要 | 本研究利用蒙地卡羅模擬與國內股市與期市實際交易資料,以『高變異係數電子 股投資組合』為要保資產,並以『指數期貨』、『現貨股票』為工具,藉『動態避險』的方式, 分析不同投資組合,在進行組合保險策略所併用的各種調整法則與變異數的估計法,所衍生 的潛在成本與效益。 經過模擬分析本研究證實,在CAPM之環境下,高貝他值的要保標的可增強向上捕獲率而 擊敗大盤。惟要保資產報酬率的中位數會劇減,但透過要保額度的降低,可增強向上捕獲率, 也可有效地降低保險成本、複製誤差與要保誤差。 經過實證分析,我們發現: 就變異數估計而言,應用移動平均法、極值法與異質條件變異數法,皆可達到預期的保險效 果,使用不同種變異數估計方法,對投資組合保險策略的績效影響差異不大。 由於SIMEX近月摩根台指期貨的『基差風險』,使以『近月期約』進行組合保險策略的績效, 並不一定優於以股票為之。雖然期貨的高流動性與低廉交易成本,使組合保險在盤整期的執 行有效性提高,但期貨的基差問題卻使投資組合管理者面臨不確定的避險成本。 台灣的實證資料顯示,貝它值極為不穩定且解釋能力低,本研究採用高變異係數投資組合替 代高貝它值投資組合,發現可以有效降低保險成本。若將要保額度定在90%,更可使高變異 係數投資組合之組合保險在不同市況中圴能戰勝大盤。 動態複製性賣權不論併用何種調整法則,對善組合保險的績效表現助益差異不大,但以股票 進行組合保險時,最適調整法則為每週調整法;若以期貨進行組合保險時,其最適調整法則 為每二週調整法。 |
英文摘要 | The main goal of portfolio insurance is to provide downside protection for the value of stock portfolio while preserving much of the upside potential. To generate the attractive feature of call-option-like payoff structure, the general principle of portfolio insurance is to increase the size of stock invested in an up market and decrease the percentage invested in a down market. There are many ways to implement portfolio insurance. The simple way is to use index put options. The more common ways are to use cash stock and borrowing to replicate the call option feature. The most controversial way is to use index futures to do dynamic hedging. The last two models of portfolio insurance require frequent adjustments of cash stock and index futures positions as the market moves. In the presence of transaction cost, however, the dynamic adjustment process may be very costly, especially in a whipsaw market. This study uses Monte Carlo simulation and confirms that under the assumption of CAPM a high-beta portfolio can beat the market with a properly-executed insurance policy. However, the CAPM does not seem to hold in Taiwan's market. Thus, we choose a portfolio with high coefficient of variation (CV) instead to form a leveraged portfolio. Empirical evidence indicates that a high CV portfolio insured using Simex Morgan Taiwan Index Futures Contracts can successfully beat the market. However, the positive basis risk associated with the nearby-month futures contracts makes the futures-insured policy rather costly especially in a downward market. We also examine the impact of different volatility estimates and different adjustment methods on the return of the insured portfolio. Empirical evidence shows that different volatility estimates only have a marginal effect while the optimal adjustment periods appear to be between one week and two weeks. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。