臺灣博碩士論文加值系統

本文研究投資組合效果與動態效果對於投資組合避險是否有效。使用BEKK-GARCH (Baba-Engle-Kraft-Kroner)作為動態共變異結構的模型以計算最小變異避險比率。同時，也在文章中加入非對稱性與基差對於避險效果的研究。使用的商品包含倫敦金屬交易所內交易的六種金屬商品。結果顯示，投資組合避險在所有的實例中均優於分別避險。加入非對稱效果後無法繼續增加避險有效性。而基差效果的加入則可以明顯的提升避險的有效性。

This paper investigates the portfolio effect and the dynamic effect of portfolio hedging effectiveness. BEKK-GARCH (Baba-Engle-Kraft-Kroner) is used to model the dynamic covariance structure to calculate the minimum variance hedge ratios. The effects of asymmetries and basis are also investigated. Six metal commodities traded in the London Metal Exchange are used. Results show that portfolio hedging is superior to separate hedging for all cases. The asymmetry effect can’t increase hedging effectiveness. After adding the basis effect, hedging effectiveness is improved obviously.

目錄
第一章 緒論…………………………………………………………………...…….1
第一節 研究背景與研究動機………………………………………………....1
第二節 研究目的………………………………………………………………2
第二章 文獻回顧……………………………………………………………………4
第一節 期貨之意義與功能………………………………………………..…..4
第二節 避險理論回顧……………………………………………………...….5
第三章 實證研究方法設計………………………………………………………..12
第一節 資料說明……………………………………………………………..12
第二節 資料特性檢定…………………………………………………….….12
第三節 估算最小變易避險比率……………………………………………..15
第四節 動態估計過程說明…………………………………………………..18
第四章 實證結果………………………………………………………….……….20
第一節 資料基本統計分析……………………………………………….….20
第二節 單根檢定…………………………………………………………..…21
第三節 ARCH效果檢定……………………………………………………..24
第四節 避險效率分析………………………………………………………..25
第五章 結論與建議……………………………………………………………..…35
第一節 結論…………………………………………………………………..35
第二節 後續研究建議………………………………………………………..36
參考文獻……………………………………………………………………………..37

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