臺灣博碩士論文加值系統

避險是風險管理重要的一環，因此如何決定避險比例是投資人所需面對的重要課題。本文利用Aumann and Serrano (2008)、Foster and Hart (2009)、Bali, Cakici and Chabi-Yo (2011)三個風險指標計算現貨–期貨的最適避險比例，有別於過去文獻使用的風險衡量方法，本文使用的風險指標有較良好的經濟意涵也符合隨機優越法則。為了與傳統風險指標做比較，本文加入被廣泛使用來當作風險指標–變異數作為本文風險衡量方法之一，以此檢測不同風險指標對於避險比例的影響。此外選取多個國家股價指數作為研究標的以檢驗不同國家避險比例的差異。
本文實證結果發現在動態避險時使用變異數所求的避險比例較穩定且各國避險比例差異最小，而使用Bali, Cakici and Chabi-Yo (2011)風險指標避險比例波動較劇烈且各國避險比例差異程度最大。Aumann and Serrano (2008)、Foster and Hart(2009)兩個風險指標所計算的避險比例較相近。

Hedge is an important part of risk management. It comes up with a critical problem to be addressed in determine hedge ratio. In this paper, we propose three spot-futures hedging methods that determines the optimal hedge ratio by minimizing the riskiness of hedged portfolio returns, where the riskiness is measured by the index of Aumann and Serrano (2008), Foster and Hart (2009) and Bali, Cakici and Chabi-Yo (2011). Unlike the risk measurements widely used in the literature, the riskiness indexes employed in our methods not only have better economic interpretation but also satisfy monotonicity with respect to stochastic dominance. We add variance which is widely used to measure the risk of portfolio returns as one of our methods in order to compare with traditional risk measurements. Moreover, we examine the hedge ratio between different countries.
Our empirical result shows that when we take dynamic hedging strategy, variance is the most stable hedge ratio method and the difference between countries is the smallest. Bali, Cakici and Chabi-Yo (2011) is the most unstable method and the difference between countries is the biggest. Hedge ratio measure by Aumann and Serrano (2008)and Foster and Hart (2009) are closed.

中文摘要.................................i
英文摘要.................................ii
誌謝.....................................iii
目錄.....................................iv
圖目錄...................................vi
表目錄...................................vii
一、緒論.................................1
1-1　研究背景............................1
1-2　研究動機與目的.......................1
1-3　研究架構............................2
二、文獻回顧.............................4
2-1　避險比例文獻回顧.....................4
2-2　風險指標文獻回顧.....................5
三、風險指標.............................7
四、實證研究............................12
4-1　研究樣本...........................12
4-2　樣本敘述統計.......................12
4-3　建構避險投資組合....................13
4-4　風險最小化之方法....................13
4-5　實證結果...........................14
五、結論................................19
參考文獻................................41

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