論文提要內容：
本研究將台股期貨指數及寶來台灣卓越50 ETF (TTT , 0050)以運用OLS模型、VAR、單變量GARCH(1,1)與雙變量GARCH(1,1)等避險模型來估計避險比率，並比較兩種避險工具在不同模型下之避險績效，以確認寶來台灣卓越50 ETF基金是否適合作為避險工具，供投資大眾參考。
實證結果顯示，台灣期貨指數及台灣50 ETF在四種避型下，都可得到很好的避險效果，而且避險績效差異不大，其中雙變量GARCH(1,1)模型避險有較佳的避險績效，而VAR避險模型和傳統OLS模型的避險績效非常相近，最差為單變量GARCH(1,1)模型。此外實證結果也顯示，不論那一種避險模型，台灣期貨指數皆比台灣50 ETF的避險績效較佳，表示台灣期貨指數還是最主要的避險工具，不過，差距並不大，加上台灣期貨指數有到期日的問題，還須面臨每月結倉、轉倉、交易成本、價差風險等問題，而ETF不但能夠進行信用交易，又沒有到期日風險與轉倉困擾，都是ETF相對期指優異之處。因此，本研究經由實證結果及實際市場操作了解，在避險績效差異不大的情況下，ETF是可以作為避險的替代工具，而本研究也希望能讓台灣的投資人能真正了解ETF的特性，在投資上獲得更大的效益。

Abstract：
This paper considers hedge and basis simultaneously to investigate Polaris Taiwan Top 50 Tracker Fund(TTT) and TAIFEX Stock Index futures, and we compare which is appropriate to hedge the TSEC Taiwan 50 Index. It compares the hedging effectiveness in traditional OLS model, univariate GARCH, bivariate GARCH model and VAR model. The main empirical results are as follows, we find the significance of unit roots and thus the non-stationary of the price series, so price series should be differenced to induce stationary. The bivariate GARCH model outperforms all other hedging models , and TAIFEX Stock Index futures is the better instrument to hedge the TTT. However, the TAIFEX and TTT the variance gap is not large, and TAIFEX transactions more difficult then ETF. Therefore, by the empirical results of this study and practical understanding of market operations, ETF is an alternative can be used as hedging tools.

目錄
中文摘要……………………….………………………………………………………I
英文摘要………………………….…………………………………………………II
目錄………………………………….……………………………………………...III
表目錄………………………………….……………………………………………..IV
圖目錄………………………………….……………………………………………..V
第一章 緒論……………………………………………………………………1    
第一節 研究動機………………………………………………………………1    
第二節 研究目的………………………………………………………………4    
第二章 簡介ETF…………………………………………………………………5   
第一節 何謂ETF(Exchange Traded Funds)…………………………………7    
第二節ETF與指數期貨(Future)的比較………………………………………14   
第三章 文獻探討………………………………………………………………16   
第一節 避險策略………………………………………………………………17   
第二節 國內外文獻探討………………………………………………………22   
第四章 研究方法………………………………………………………………25   
第一節 資料來源與變數定義…………………………………………………25   
第二節 單根檢定………………………………………………………………32   
第三節 ARCH模型檢定…………………………………………………………35   
第四節 避險模型………………………………………………………………38   
第五節 避險比率說明…………………………………………………………44   
第五章 實證結果與分析………………………………………………………45   
第一節 基本統計量分析………………………………………………………45   
第二節 單根檢定………………………………………………………………48   
第三節 各模型避險效果比較…………………………………………………50   
第六章 結論與建議……………………………………………………………52   
參考文獻…………………………………………………………………………53  
                                                                    
表目錄                                                              
【表2-1】ETF基本特色…………………………………………………………8   
【表2-2】ETF與指數期貨差別比較表…………………………………………15  
【表4-1】臺灣證券交易所股價指數期貨契約規格…………………………26   
【表4-2】寶來台灣卓越50基金商品規格……………………………………28   
【表4-3】寶來台灣卓越50 ETF成份股………………………………………29   
【表5-1】台灣50指數與台股期貨指數及台灣50 ETF之基本統計量………46   
【表5-2】台股期貨指數與台灣50 ETF時間序列資料之單根檢定…………49   
【表5-3】台灣50指數、台股期貨指數及台灣50 ETF指數ARCH效果檢定…49   
【表5-4】不同避險模型下投資組合之平均變異數…………………………51   
【表5-5】不同避險模型之避險績效比較……………………………………51   
                                                                    
圖目錄                                                              
【圖2-1】全球ETF發行概況……………………………………………………5   
【圖2-2】台灣ETF發行概況……………………………………………………6   
【圖2-3】ETF交易機製圖………………………………………………………10  
【圖2-4】ETF折溢價時市場調整機製圖………………………………………11  
【圖5-1】台灣加權股票指數、台灣50指數及台灣50 ETF走勢圖…………47

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