臺灣博碩士論文加值系統

隨著全球化的趨勢，匯率波動對公司投資在國際資產上有重大影響，如何規避外匯風險已經成為很重要課題。本文主要探討遠期外匯契約避險策略，在匯率波動平穩下或是匯率大幅變動下對避險績效的影響。本文研究樣本期間為2006年至2010年日資料，透過不同避險策略及參數設定期間探討美元兌英鎊、瑞士法朗、歐元、加拿大幣、日圓、澳幣、新加坡幣及臺幣的避險績效。避險策略為未避險、傳統避險策略(Naive hedge)、部分避險策略(Part hedge)、最小變異數避險策略(Minimum-variance hedge)及低偏動差避險策略(Lower partial moment)等五種策略。遠期契約持有時間為一個月、二個月、三個月、六個月及一年期。歷史資料期間分為一個月、三個月及六個月。採用避險效益(Hedging Effectiveness, HE)及夏普指標(Sharpe Ratio)衡量各個幣別下的避險績效。本文實證結果說明在金融海嘯前，採用低偏動差避險策略進行避險有較高避險績效，在2007年至2010年間採用最小變異數避險策略進行避險的避險績效優於低偏動差避險策略，因為在金融海嘯這段期間匯率波動劇烈，低偏動差避險策略僅考慮到下方風險較無法有效進行避險，而最小變異數避險策略考慮到整體風險，在金融海嘯期間其避險績效優於低偏動差避險策略。實證結果也發現若歷史資料期間增加，可以提高避險績效。

With the impact of globalization, the volatility of exchange rate has been playing an important role in companies' foreign assets investment strategies. Since foreseen risks are derived from such volatility, it has become an increasingly significant issue on how to hedge them. Our main topic of this report is to discuss the hedging strategies of forward exchange contracts, and to compare hedging performances between both stable and unstable exchange rate periods. Using the basis of US Dollars, this report utilizes different hedging strategies and parameter settings between the years of 2006 and 2010. It evaluates the hedging performances when they are exchanged into Pounds, Francs, Euros, Canadian dollars, Yens, Australian Dollars, Singapore Dollars, and New Taiwan Dollars. First, we employ the five strategies: Un-Hedge, Naive Hedge, Part Hedge, Minimum-Variance Hedge and Lower Partial Moment. Then, we hold the forward contract for the period of one-month, two-month, three-month, six-month and a year, using different lengths of historical sample data to estimate optimal hedge ratio. Furthermore, we adopt Hedging Effectiveness and Sharpe Ratio to measure hedging performances under different currencies. Our findings strongly suggest that by adopting Lower Partial Moment hedging strategy, companies can lead to higher hedging performances prior to the financial crisis, when this report takes place. However, during the financial crisis from 2007 to 2010, we propose the Minimum-Variance Hedge strategy for companies, as to Lower Partial Moment hedging strategy. The reason of our choice is that the Minimum-Variance Hedge strategy considers the overall risk, and due to dramatic fluctuations of the exchange rate, such strategy outperforms the Lower Partial Moment hedging strategy, which only takes into account of downside risk. Moreover, our findings indicate that we are able to attain higher hedging performances if we expanding the length of time of our historical sample data.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究假設 4
第四節 研究流程及架構 5
第二章 文獻探討 9
第一節 匯率風險與避險理論文獻回顧 9
第二節 避險效益及避險策略之實證文獻回顧 17
第三章 研究設計 21
第一節 資料來源 21
第二節 研究方法 22
第四章 實證結果分析 29
第一節 各國匯率報酬率之敘述統計 29
第二節 避險與未避險之績效探討 35
第三節 各個避險策略績效探討 36
第四節 歷史資料期間不同之避險績效探討 45
第五章 結論與建議 49
第一節 研究結論 49
第二節 研究建議 50
第三節 研究限制 51
參考文獻 53
中文部分： 53
英文部分： 53

中文部分：
王曉恬(2006)，“臺灣退休基金之最適外匯避險策略研究”， 臺灣大學財務金融研究所碩士論文。
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張文翰(2003)，“最適風險指標與其避險績效之研究”， 淡江大學財務金融所碩士論文。
陳素珍(1998)，“規避下方風險之最適避險比例”， 臺灣大學國際企業學研究所碩士論文。
黃景明(2002)，“臺灣股價指數期貨最適避險策略之研究”， 淡江大學財務金融所碩士論文。

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