臺灣博碩士論文加值系統

為了使其股票投資組合不致在大盤股價指數下跌時蒙受巨大損失，並使其投資組合的價值維持穩定。因此本研究針對擁有一籃子股票投資組合之投資人，因擔心股價下跌而採取賣出股價指數的空頭避險策略，在不考慮交易成本、匯率風險、交易數量限制下，分別探討使用台指期貨(TX)、台指選擇權(TXO)來規避單一股票系統風險，避險長度使用日、週等二種期間，利用不同的 估計模型找出最適避險比率，並比較避險前後標準差的大小與避險期間的選擇。實證結果顯示出該投資組合最佳避險比例為最小變異數之標準差較佳，而台指選擇權避險之標準差較差，顯示出台指期貨與現貨連動性較高，作為投資組合避險工具可有效達到降低系統性風險。另外在避險績效方面得到使用日報酬的避險績效比週報酬的避險績效較佳。因此本文研究證實採用最小風險避險比例法的績效好過簡單避險，而簡單避險又會優於不避險。

To make the stock portfolio will not suffer huge losses in the broader stock index fell , and the value of its investment portfolio to maintain stability . Therefore, this study has a basket of equity portfolio investment , for fear fell taken short hedging strategy to sell stock index does not consider transaction costs, exchange rate risk, the transaction limit on the number respectively to explore the use of the Taiwan stock index futures ( TX ), Taiwan index options ( TXO ) to circumvent the risk of a single stock system , hedge length of the period of two kinds in use day , week, etc. , the use of different beta estimation model to find the optimal hedge ratio , and compare hedge before and after the standard deviation the size and the choice of the hedging period . The empirical results show the better of the portfolio hedge ratio of the standard deviation of minimum variance , and TAIEX options hedge standard deviation of the poor , showing the introduction of the futures and spot -linked higher , as a portfolio hedge The tools can be effective to reduce systemic risk . In addition , in terms of hedging performance of hedge performance using daily returns better than the hedging performance of the weekly return . Therefore , this study confirmed that the performance is better than a simple hedge with minimum risk hedge ratio method , and simple hedge will is better than not hedging .

目 錄
第一章 緒論-----------------------------------------------------------------------------------------------1
1.1研究動機-------------------------------------------------------------------------------------1
1.2研究目的-----------------------------------------------------------------------------------5
1.3研究架構-----------------------------------------------------------------------------------6
第二章 理論基礎與文獻探討------------------------------------------------------------------------9
2.1投資組合價值-----------------------------------------------------------------------------9
2.2期貨避險與選擇權評價之理論與運用-----------------------------------------------13
2.3避險實證之相關文獻探討--------------------------------------------------------------28
第三章 避險與不避險之探討------------------------------------------------------------------------34
3.1不避險理由--------------------------------------------------------------------------------34
3.2避險理由與作法--------------------------------------------------------------------------41
第四章 避險分析---------------------------------------------------------------------------------------46
前言---------------------------------------------------------------------------------------------46
4.1天真避險-----------------------------------------------------------------------------------53
4.2部分避險-----------------------------------------------------------------------------------55
4.3動態避險-----------------------------------------------------------------------------------59
4.4避險實際問題-----------------------------------------------------------------------------67
第五章 結論---------------------------------------------------------------------------------------------70
參考文獻--------------------------------------------------------------------------------------------------72
英文部份--------------------------------------------------------------------------------------------------72
中文部份--------------------------------------------------------------------------------------------------74
附 錄：附表1 台灣證券交易所股價指數期貨契約規格---------------------------------------77
附表2 台灣證券交易所股價指數選擇權契約規格------------------------------------78

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