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研究生:蔣自強
研究生(外文):Chiang Tzu-Chiang
論文名稱:指數期貨避險效率之比較:台灣與新加坡指數期貨市場之實證
論文名稱(外文):Hedging Effectiveness Comparison: Evidence From Taiwan and Singapore Index Futures Market
指導教授:張森林張森林引用關係
指導教授(外文):San-Lin Chung
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:英文
論文頁數:31
中文關鍵詞:避險效率
外文關鍵詞:hedgeeffectiveness
相關次數:
  • 被引用被引用:2
  • 點閱點閱:216
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  • 收藏至我的研究室書目清單書目收藏:1
摘 要
本論文主要探討摩台指期貨與台指期貨避險效率的比較,實證上發現摩台指期貨市場因台指期貨推出,進而促進市場深化,避險效率逐漸增加,此外,亦發現在實證期間台指期貨的避險效率較摩台指為佳;若考慮降稅的效果,發現雖然降低交易稅可以提高交易量,促進交易意願,但不影響避險效率;另外,實證發現估計期的長短並不影響避險的效率,而避險效率似乎隨避險期間增加而提高。
Abstract
This paper compared the hedging effectiveness of index futures traded in TAIFEX and SGXTW traded in SGX. First the hedging effectiveness of TAIEX value weighted index hedged with SGXTW before and after FITX offered by TAIFEX was compared. Second, the hedging effectiveness of TAIEX value weighted index hedged with SGXTW and FITX were compared. The possible reasons that FITX outperformed SGXTW may be due to the contract specification and local market advantages. Third, the impact to hedging effectiveness of trading- tax-reduction was also compared. It seems no impact due to the reduction. The result was similar to the finding in 2000 by Kavussanos and Nomikos. Forth, the relation between estimation period and hedge period was discussed. The hedging effectiveness does not appear to be related to estimation period length and tends to increased as the hedging horizon increased..
Contents
1. Introduction…………………………………………………………………….1
2. A brief introduction of markets……………………………………………….2
3. Motivation of the research……………………………………………………..3
4. Related Research………………………………………………………………..4
5. Data and Method……………………………………………………………….11
6. Result……………………………………………………………………………15
7. Conclusion……………………………………………………………………...23
8. Reference……………………………………………………………………….24
9. Appendix………………………………………………………………………..27
References:Benet, B. A. (1992):”Hedge Period Length and Ex-Ante Futures Hedging Effectiveness: The case of Foreign-Exchange Risk Cross Hedges,” Journal of Futures Markets, 12(2), pp. 163-175.Brailsford, T., Corrigan, K., and Heaney, R. (2001):”A comparison of measures of hedging effectiveness: a case study using the Australian All Ordinaries Share Price Index Futures contract,” Journal of Multinational Financial Management, 11, pp.465-481.Chang, J. S. K., and Shanker, L. (1987):” A Risk-Return Measure of Hedging Effectiveness: A Comment,” Journal of Financial and Quantitative Analysis, 22(3), pp.373-376.Ederington, L. H. (1979):”The Hedging Performance of the New Futures Markets,” Journal of Finance, 35, pp. 157-170.Geppert, J. M. (1995):”A Statistical Model for the Relationship between Futures Contract Hedging Effectiveness and Investment Horizon Length,” Journal of Futures Markets, 15(5), pp. 507-536.Howard, C. T., and L. J. D’Antonio (1984):”A Risk-Return Measure of Hedging Effectiveness,” Journal of Financial and Quantitative Analysis, 19, pp.101-112.Howard, C. T., and L. J. D’Antonio (1984):”A Risk-Return Measure of Hedging Effectiveness: A Reply,” Journal of Financial and Quantitative Analysis, 22(3), pp.377-381.Hsin, C.W., J. Kuo and C.F. Lee (1994):”A New Measure to Compare the Hedging Effectiveness of Foreign Currency Futures verse Options,” Journal of Futures Markets, 14, pp. 685-707.Kavussanos, M. G., Nomikos, N. K. (2000):”Futures Hedging when the Structure of the Underlying Asset Changes: The Case of the BIFFEX Contract,” Journal of Futures Markets, 20(8), pp. 775-801.Kuo, C. K. and Chen, K. W. (1995):”A Risk-Return Measure of Hedging Effectiveness: A Simplification,” Journal of Futures Markets, 15(1), pp. 39-44.Lindahl, M. (1989):”Measure Hedging Effectiveness With R2: A Note,” Journal of Futures Markets, 11(4), pp. 399-409Lindahl, M. (1991):”Risk-Return Hedging Effectiveness Measures for Stock Index Futures,” Journal of Futures Markets, 9(5), pp. 469-475.Malliaris, A. G., and Urrutia, J. (1991b):”The Impact of the Lengths of Estimation Periods and Hedging Horizons on the Effectiveness of a Hedge: Evidence from Foreign Currency Futures,” Journal of Futures Markets, 11(3), pp. 271-289.Malliaris, A. G., and Urrutia, J.(1991a):”Tests of Random Walk of Hedge Ratios and Measures of Hedging Effectiveness for Stock Index and Foreign Currencies,” Journal of Futures Markets, 11(1), pp. 55-68.Pennings, J.M.E., Meulenberg, M.T.G. (1997):”Hedging efficiency: a futures exchange management approach,” Journal of Futures Markets, 17(5), pp. 599-615.Toves, A. L. and D.P. Jacob (1986):”Futures and alternative hedge ratio methodologies,” Journal of Portfolio Management, spring, pp.60-70.Satyanarayan, S. (1998):”A Note on a Risk-Return Measure of Hedging Effectiveness,” Journal of Futures Markets, 18(7), pp. 867-870.
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