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研究生:賴逸芸
研究生(外文):Lai I-Yun
論文名稱:投資人情緒於避險績效之研究
論文名稱(外文):The Impact of Investor Sentiment Predictability on Hedging Performance
指導教授:王凱立王凱立引用關係
指導教授(外文):Wang Kai Li
口試委員:顏盟峯楊踐為張永和
口試委員(外文):YAN MENG FONGYANG JIAN WEIJHANG YONG HE
口試日期:2011-07-23
學位類別:碩士
校院名稱:東海大學
系所名稱:財務金融學系
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:2011
畢業學年度:99
語文別:中文
論文頁數:51
中文關鍵詞:投資人情緒避險績效ADCC-GARCH模型
外文關鍵詞:investor sentimenthedge performanceADCC-GARCH model
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近年來金融資產價格波動加劇,市場風險大幅提高,風險管理成為避險研究的重要議題,如何有效的估計避險比率成為理論與實務的熱門研究方向。鑒於投資人情緒對於市場報酬及波動的潛在影響,本文首度嘗試將投資人情緒納入避險模型,探討納入投資人情緒因子是否有助於避險績效的提升。本文擬針對農產品市場及軟性商品市場作比較,探討市場投資人情緒對於不同市場避險績效的影響。

本文實證結果顯示,避險投資人情緒高漲時,市場投資人行為會偏向謹慎保守,進而導致預期報酬降低;另一方面,投機投資人情緒對於現貨及期貨報酬普遍具有正向顯著影響,說明當投機投資人情緒高漲時,投資人行為趨於積極,會傾向提高預期報酬,驗證DSSW(1990)模型之持續買進(hold-more)效果。

針對模型樣本內之避險估計結果,投資人情緒納入避險考量普遍有助提升避險績效。就短、中、長避險期間做比較,發現市場避險績效普遍隨時間拉長而獲得有效改善。綜合樣本內避險估計結果,發現避險投資人情緒於避險績效的改善普遍優於其他投資人情緒,說明投資人採用避險投資人情緒於避險策略考量的重要性。

針對樣本外軟性商品及農產品市場避險結果,短、中、長期績效改善程度做比較,避險績效普遍隨時間拉長而獲得改善。此外,本文重要發現,軟性商品市場普遍以避險投資人情緒之避險績效表現較佳(棉花、砂糖);而農產品市場則以投機投資人情緒有較佳之避險結果(玉米、大豆)。

In recent years, the high volatility of financial asset prices is cause of market risk raise. According to the increasing market risk, how to estimate the hedge ratio effectively becomes one of the most popular issues in the practical and theoretical fields. In order to analyze the influence of investor sentiment to increasing the hedge performance, this paper considers the investor sentiment into the hedging model in the soft commodity markets and the agriculture markets.

According to the results, when there is high hedge investor sentiment, the invest behaviors tend to conservative and reduce the excepted returns. On the other hand, the high speculative investor sentiment will raise the expected returns. It verifies the hold-more effect submitted by DSSW(1990).

The results in the sample illustrate the investor sentiment is important factor on improving the hedge performance. Compare to the different periods, the hedge performance rise more in the long period. Conclusion of the results of in sample, hedge investor sentiment has better effect on the hedge performance. On the contrary, we compare the soft commodity market and the agriculture market. We find that the hedge investor sentiment is more important in the soft commodity market. However, the speculative investor sentiment has better reaction in the agriculture market.

目錄
摘要 I
Abstract II
第壹章、緒論 1
第二節、研究目的 7
第貳章、文獻探討 7
第一節、投資人情緒 7
第二節、避險 8
(1)傳統避險理論 8
(2)選擇性避險理論 9
(3)投資組合避險理論 9
第參章、研究方法 10
第一節、實證模型 11
第肆章、實證分析 19
第一節、資料來源與資料描述 19
(1)單根檢定 20
(2)敘述統計量 21
第二節、實證結果分析 23
第伍章、結論 36
第陸章、附表 37
參考文獻 43


參考文獻
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