臺灣博碩士論文加值系統

近年來，台灣與新南向國家的合作關係越來越緊密，我們希望了解新南向國家的金融市場及其避險效率為何，於是本篇研究採用了台灣與新南向國家的股價指數及股價指數期貨作為樣本，探討其避險效果。我們採用傳統最小變異數估計法及Chen、Ho和Tzeng (2014)提出的最小風險指數估計法進行研究。結果發現，最小變異數法算出的避險比率大於最小風險指數法算出的避險比率；就避險過後的投資組合報酬平均數及變異數而言，其結果為最小風險指數法大於最小變異數法。此外，以避險效率進行探討，印度避險後投資組合報酬的變異數是下降幅度最大的國家，而新加坡則是裡面下降幅度最小的國家。最後得出，以這兩種方法都能夠有效地讓避險後投資組合報酬的變異數明顯地下降。

Recently, the relationship with the countries in the New Southbound Policy is getting closer and closer. We want to know the financial information in these countries, and the hedging effectiveness in their market. Accordingly, this study uses the stock index and the stock index futures in Taiwan and countries included in the New Southbound Policy as samples to discuss the hedging effectiveness among these countries. We apply two strategies to carry out the research, the traditional minimum variance method, and the riskiness-minimizing method is supported by Chen, Ho and Tzeng (2014). The results show that the hedge ratio of the minimum variance method is bigger than riskiness-minimizing method. However, about the mean and the variance of the hedged portfolio returns, the results in riskiness-minimizing method are better than that in minimum variance method. Moreover, the variance of the hedged portfolio return for India is dramatically decreased in all of the countries. However, Singapore is the less decreased in all of the countries. In conclusion, the minimum variance method and the riskiness-minimizing method can effectively reduce the variance of hedged portfolio returns.

目錄
第一章 緒論 1
第一節 研究動機及研究目的 1
第二節 研究架構 2
第二章 研究背景 4
第一節 新南向政策的歷史發展 4
第二節 期貨的歷史發展 7
第三節 股價指數期貨的歷史發展 9
第四節 台灣期貨市場的歷史發展 9
第五節 新南向國家股價指數期貨的歷史發展 11
第三章 文獻回顧 15
第一節 最小變異數估計法 15
第二節 雙變數 GARCH模型 20
第三節 風險經濟指數（An Economic Index of Riskiness ）22
第四章 研究方法　25
第一節 最小變異數估計法　25
第二節 雙變數GARCH模型　26
第三節 風險指數法　27
第四節 最小風險指數估計法　28
第五章 實證結果　30
第一節 研究資料　30
第二節 最小變異數估計法的實證結果　34
第三節 最小風險指數估計法的實證結果　38
第四節 最小變異數估計法及最小風險指數估計法的比較　40
第六章 結論與建議　43
參考文獻　46

圖目錄
圖 1 台灣對於南向國家的投資額（單位：百萬美元）　5
圖 2 2012-2018年新南向國家來台觀光人數　7

表目錄
表 1 新南向國家期貨介紹　31
表 2 現貨及期貨報酬敘述統計分析　33
表 3 最小變異數估計法－使用歷史變異數法估計之變異數及共變異數　35
表 4 最小變異數法－使用雙變數GARCH模型估計之變異數及共變異數　36
表 5 最小變異數法－歷史變異數法及雙變數GARCH模型的避險效率比較　37
表 6 最小風險指數估計法－使用歷史變異數法估計之變異數及共變異數　39
表 7 最小風險指數法的避險效率比較　40
表 8 最小變異數法及最小風險指數法的風險比較　42

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