臺灣博碩士論文加值系統

本研究站在台灣原油交易商的角度，探討不同避險策略、估算避險比率的模型及避險期間的選擇是否影響避險後投資組合報酬變異數，並選出最適的策略、估計模型與避險期間。此外，更使用迴歸模型進一步的探討影響避險績效的因素。得出之實證結果如下，首先若以極小化變異數為目標，則避險期間一個月下並考量匯率風險但只進行原油期貨避險再加上使用GARCH-GED模型所估計之避險比率為最適避險方式。而影響一個月期避險績效的因素為卡崔娜颶風，影響兩個月與三個月期的因素則是標準普爾500指數報酬與原油產量。
綜合來說，避險期間越短其績效越佳，這是因為避險期間越短所受到外界變數的影響較少，期間若拉長，市場景氣與供需的影響會大幅增加，因而降低了預測的結果與避險的績效。

This study stands at the Taiwan crude oil traders'' point of view to explore whether different hedge strategies, the different models to estimate the hedge ratio and the different hedge period would affect the variance of return, and figure out the optimal hedge strategies, estimating methods and hedge period. In addition, the analysis of the relationship between hedging effectiveness and other exogenous variables would also be presented. The empirical results indicate that if the purpose of hedge is to minimize the volatility, the optimal hedge period is one month; the optimal estimating model is GARCH-GED model and the best strategies is to concern the exchange risk but only use the crude oil future to hedge. Furthermore, Hurricane Katrina would lower the effectiveness of one month hedge period, and the effectiveness of two and three month hedge period have a positive relationship with the S&P500 index and the oil production.
The sum of the results, the effectiveness would be higher as the hedge period much shorter. This is due to the shorter period would not be affected so much than those longer period. As the hedge period to be longer, the effectiveness would change with the market return and the oil supply, so it would much harder to estimate and forecast, and finally reduce the effect of hedging.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 2
第二章 文獻回顧 3
第一節 期貨避險理論 3
第二節 境外避險與策略 4
第三章 研究方法 7
第一節 避險比率的估算方式與績效的衡量 7
第二節 實證方法與步驟 9
第四章 實證結果 15
第一節 避險比率與績效之估計結果 15
第二節 影響避險效果之因素 18
第五章 結論 20
參考文獻 21

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