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系統識別號 U0002-2008201008162200
中文論文名稱 台灣加權股價指數避險績效比較:雙變量韋伯分配之應用
英文論文名稱 Comparison on Hedging Performance with Taiwan Weighted Stock Index: Application for Bivariate Weibull Distribution
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 98
研究生中文姓名 吳沛澄
研究生英文姓名 Pei-Chen Wu
學號 697530466
學位類別 碩士
語文別 中文
口試日期 2010-05-16
論文頁數 68頁
口試委員 指導教授-李命志
委員-盧陽正
委員-邱建良
委員-邱哲修
中文關鍵字 避險績效  避險比率  雙變量對數常態分配  雙變量韋伯分配 
英文關鍵字 Hedging Performance  Hedging ratio  Bivariate Weibull Distribution  Bivariate Longnormal Distribution 
學科別分類 學科別社會科學商學
中文摘要 本研究應用雙變量韋伯分配右偏分配型態,以最大概似函數估計法估計台灣加權股價指數期貨價格與現貨價格在避險策略下之避險比率探討。文中進一步探討單變量韋伯與雙變量韋伯分配的性質。在研究中以(OLS)最小平方法、GARCH(1,1)常態分配模型、雙變量對數常態分配進行避險績效之比較,來驗證韋伯分配模型的穩健性。
資料期間自1999年1月5日至2009年12月31日共2770筆日資料。實證結果發現,利用韋伯分配與最小平方法估計出來的避險比率與避險績效值表現較好,GARCH(1,1)常態分配模型與雙變量對數常態分配次之。因此在估計避險比率時,考慮右偏分配型態的雙變量韋伯分配預期將能達到較佳的避險績效。
英文摘要 This study uses the bivariateWeibull distribution model of the distributed of right, using the maxima likelihood estimation to calculate the hedging ratio under the hedging strategies of Taiwan weighted stock index price, predicting better result of the hedging and hedging performance. Going more into the depths of the characteristics of the Weibull distribution method, this study also adds the (OLS) least square method and the GARCH(1,1) normal distribution model, bivariate lognormal distribution modelto the comparison of hedging performance, proving the toughness of the Weibull distribution model.
 The resources date from the 5th of January1999, to 31st of December 2009. The results show that using the Weibull distribution model and least square method leads to better results when calculating the hedging ratio and hedging performance, with the GARCH(1,1) normal distribution model and bivariate lognormal distribution model following behind. Therefore, when calculating the hedging ratio, considering the Weibull distribution model will produce a better hedging performance.
論文目次 目   錄
第一章 緒 論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 理論基礎與文獻回顧 5
第一節 股價指數期貨契約 5
第二節 台灣股價指數契約 7
第三節 避險理論回顧 10
第四節 國外文獻探討 12
第五節 國內文獻探討 15
第三章 研究方法 23
第一節 常態分配、對數常態分配與韋伯分配 23
第二節 最小變異避險率 35
第二節 GARCH族模型 37
第四節 避險績效衡量 40
第四章 實證分析… 42
第一節 資料來源與基本敘述統計量分析 42
第二節 簡單模型的說明與實證 44
第三節 台股指數期貨避險績效之比較 59
第五章 結 論 61
參 考 文 獻 62
一、國內參考文獻 62
二、國外參考文獻 63
表   目   錄
【表2-2-1】台灣股價指數為標的之股價期貨契約 9
【表3-1-1】給定參數雙變量韋伯分配期望值與變異數值之表格 33
【表3-1-2】給定參數雙變量韋伯分配共變異數與相關係數值之表格 33
【表4-1-1】台灣股價指數現貨與期貨價格之敘述統計量之值 43
【表4-2-1】傳統(OLS)避險模型之估計值表格 46
【表4-2-2】雙變量常態分配GARCH(1,1)模型之估計值表格 50
【表4-2-3】雙變量對數常態分配估計值表格 54
【表4-2-4】雙變量韋伯分配之估計值表格 57
【表4-3-1】不同模型之避險績效值其表格 59

圖   目   錄
【圖1-3-1】研究流程圖 4
【圖3-1-1】單變量韋伯形狀參數 之分配圖 27
【圖3-1-2】單變量韋伯尺度參數 之分配圖 28
【圖3-1-3】單變量韋伯與常態分配之比較圖 29
【圖3-1-4】單變量韋伯形狀參數 之分配圖 29
【圖3-1-5】雙變量韋伯分配圖 34
【圖4-1-1】台灣股價指數現貨與期貨價格之走勢圖 43
【圖4-2-1】台灣股價指數現貨與期貨之共異數圖 51










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