臺灣博碩士論文加值系統

本研究以非線性的門檻誤差修正模型 (Threshold Error Correction Model, TECM)應用於建構動態股價指數期貨避險比率。具體而言，我們以現貨股價指數及期貨股價指數的長期均衡誤差作為門檻值，將現貨股價指數及期貨股價指數的長/短期關係劃分為(1) 一般區域(Normal Regime) 和(2)極端區域(Extreme Regime)，並分別計算在不同區域中的期貨及現貨的相關係數與各別變異數，用以建構在不同區域中的動態股價指數期貨避險比率。本文的另一特點為：除選取3個成熟國家股票市場資料外（包括：美國、英國和德國），並另加入3個新興國家股票市場的樣本(包括：巴西、匈牙利和南非)，並比較兩類市場的差異性。本文實證結果發現：第一、在極端(一般)區間時，現貨股價指數及期貨股價指數的報酬率的相關性明顯較低(高)，此現象於新興國家和已開發國家中皆存在，這是由於在極端區間有套利交易產生，套利交易者在現貨與期貨市場買低賣高的操作，使得現貨與期貨呈現不同向的變化，所以呈現在極端區間相關性較低的現象；第二、門檻的效果於新興(已開發)國家股票市場中較顯著(不顯著)；第三、期貨報酬標準差，皆大於現貨報酬的標準差，其原因是期貨為保證金交易，由於保證金交易的高度財務槓桿特性，造成期貨報酬的波動度較大；第四、在樣本內不論是新興市場或是已開發國家TECM皆提供最好的避險效益，在樣本外TECM於新興市場仍有最好的避險績效，但於已開發國家則是ECM表現的最好。所以基本上TECM區間變化的避險設計可以提供新興市場一個比較有效的風險降低避險策略。

This paper serves as one of the first papers to employ Balke and Fomby (1997)’s TECM (threshold error correction model) to establish a dynamic hedge ratio in stock futures indices. Specifically, we adopt the error correction term derived from the long-run relationship between futures and spot indices to identify the extreme/normal regime at each time point by data itself. Then, we estimate three key factors of the minimum variance hedge ratio including the correlation between futures and spot positions and standard deviation of futures and spot positions at each regime and then establish the framework with dynamic hedging ratios under various regimes. Moreover, in contrast with prior studies focusing on examining the cases of major industrialized countries, we add an analysis of three developing countries and examine the differences between them. Specifically, the data used in this paper are the daily futures and spot indices of three industrialized countries including U.S., Germany and U.K. as well as three emerging countries including Hungary, Brazil and South Africa. Our empirical findings are consistent with the following notions. First, the framework of threshold setting is more (less) remarkable for the emerging (matured) countries. Second, the correlation measurements between futures and spot positions are smaller (greater) at the extreme (normal) regime, both in the emerging markets and the developed countries. Third, volatility of futures is always greater than one of spots. Fourth, in-sample tests indicate that the dynamic hedge ratio derived from TECM outperform other alternatives for all cases. However, as to out-sample test, the superiorities of TECM are held for the cases of emerging country markets only.

第一章 緒論………………………………………………………………… 1
第二章 理論基礎文獻回顧………………………………………………… 5
第一節 期貨與現貨理論關係………………………………………… 5
第二節 基差非線性均數返還………………………………………… 7
第三章 資料與風險極小化避險比率設計………………………………… 12
第一節 資料描述與來源……………………………………………… 12
第二節 最適避險比率設計…………………………………………… 13
第四章 模型設定…………………………………………………………… 15
第五章 實證結果…………………………………………………………… 20
第一節 基本分析……………………………………………………… 20
第二節 避險效益分析………………………………………………… 44
第六章 結論………………………………………………………………… 51
參考文獻……………………………………………………………………… 52

國內文獻
沈中華、邱志豪(1999)，「交易成本，GDR與股價的套利：門檻共整合應用」，財 務金融學刊，第7卷第2期，89-112。

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