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系統識別號 U0002-2405200919480200
中文論文名稱 現貨價格可測下最小變異避險策略
英文論文名稱 Hedging strategy when spot price changes are partially predictable
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 97
學期 2
出版年 98
研究生中文姓名 黃淑茹
研究生英文姓名 Shu-Ju Huang
學號 696530459
學位類別 碩士
語文別 中文
口試日期 2009-05-16
論文頁數 72頁
口試委員 指導教授-李命志
共同指導教授-鄭婉秀
委員-邱建良
委員-俞海琴
委員-姜淑美
委員-李命志
中文關鍵字 原油期貨  避險  MVHR  OLS  BGARCH 
英文關鍵字 crude oil futures  hedge  MVHR  OLS  BGARCH 
學科別分類 學科別社會科學商學
中文摘要 本文之研究標的為全球二十六個國家下之三十一個原油類市場之現貨與紐約商品交易所(NYMEX)的輕原油期貨,資料期間為1997年1月3日至2008年12月26日的週資料。由於在許多市場中,現貨價格的變動是可以部分被預測的,而當使用傳統迴歸模型估計避險比率時,卻忽略了預期現貨價格變動的因素。本文於傳統OLS模型與受限制OLS模型(含訊息)的研究過程中發現:(1)傳統迴歸模型估計出的最小變異避險比率雖具不偏性,但不具效率性;且(2)估計避險部位與不避險部位的風險時產生高估的情形;與(3)估計避險下風險降低的程度產生低估的情形,而在加入預期現貨價格變動因子後,將有助於提升避險比率的效率性。
本文利用四種避險模型分析原油期貨之避險績效,使投資組合之報酬變異數為最小下的避險比率(MV)為最適避險比率,避險模型包含了OLS、受限制OLS(含訊息)、VAR、BGARCH模型,進行實證研究,比較在何種模型下的避險績效較佳。實證結果發現在比較四種避險模型之避險績效時,以雙變量GARCH模型為最佳避險績效模型,此外,更進一步發現最小變異避險比率之估計式會受到期初避險時新訊息的影響,當加入考量影響預期現貨價格改變的因子後,將提高迴歸結果之效率性及降低偏誤。
英文摘要 The data used in the research are weekly prices of thirty-one crude oil markets in twenty-six countries and crude oil futures in NYMEX. The sample period extends from January, , 1997 to December, 26, 2008. In many markets, the changes in the spot price are partially predictable, but the traditional regression method is lack of the anticipated changes in the spot price. In this research, the traditional OLS model and restricted OLS model show the following case: (1) although unbiased, traditional regression estimates of the minimum variance hedge ratio are inefficient, (2) estimates of the risk of both hedged and un-hedged positions are biased upward, and (3) estimates of the percentage risk reduction achievable through hedging are biased downward.
We research four major hedging model includong OLS、Restricted OLS、VAR、BGARCH, and use minimum variances hedge ratio(MVHR)approach to analyse which model gets the best hedge efficiency. For crude oil cross hedges, the bivariate GARCH model provides greater hedged efficiency than other models. Further find that, incorporating the expected change in the spot price, the regression results would be in a substantial increase in efficiency and reduction in the bias.
論文目次 中文摘要 I
英文摘要 II
謝辭 III
目錄 IV
圖目錄 V
表目錄 VI
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 3
第四節 研究流程 5
第二章 理論基礎與文獻探討 6
第一節 期貨市場 6
第二節 主要油品市場簡介 9
第三節 原油期貨市場 12
第四節 避險理論 14
第五節 避險模型 18
第六節 國外文獻探討 23
第七節 國內文獻探討 27
第三章 研究方法 31
第一節 估計避險比率-最小變異法 31
第二節 避險績效的衡量 31
第三節 理論模型-普通最小平方法模型 32
第四節 迴歸模型的涵義 36
第五節 受限制OLS模型、VAR模型與雙變量GARCH模型 40
第四章 實證研究 50
第一節 市場描述 50
第二節 資料來源 50
第三節 變數定義 53
第五章 實證結果 54
第一節 資料處理 54
第二節 單根檢定 58
第三節 ARCH效果檢定 61
第四節 不同避險模型下之避險績效 62
第六章 結論 68
參考文獻 69

圖目錄
圖1-1 研究流程 5
圖5-1 原油市場現貨期貨價格原始序列與變動序列(列舉市場) 56

表目錄
表2-1 期貨契約與遠期契約的比較 7
表2-2 2007年石油輸出組織(OPEC)之概況 11
表2-3 主要石油期貨交易所及其合約上市時間 13
表2-4 WTI(NYMEX)期貨合約規格 13
表4-1 三十一個原油類市場之油質類別 51
表5-1 OPEC/Non-OPEC國家原油市場現貨價格敘述統計 55
表5-2 OPEC原油現貨與期貨(避險期間六個月)價格變動單根檢定之結果 59
表5-3 Non-OPEC原油現貨與期貨(避險期間六個月)價格變動單根檢定結果 60
表5-4 OPEC/Non-OPEC國家原油價格變動ARCH效果檢定 61
表5-5 OPEC國家-傳統OLS模型與受限制Restricted-OLS模型之比較 64
表5-6 Non-OPEC國家-傳統OLS模型與受限制Restricted-OLS模型之比較 65
表5-7 OPEC- BGARCH、傳統OLS、R-OLS與VAR模型之避險績效 66
表5-8 Non-OPEC- BGARCH、傳統OLS、R-OLS與VAR模型之避險績效 67


參考文獻 中文部分
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2. 李應勳(2005),原油價格波動與避險策略之研究,淡江大學財務金融所碩士論文。
3. 張育達(1991),期貨契約最適避險策略之研究,台灣大學財務金融學研究所碩士論文。
4. 陳政德(1998),利用國外台股指數期貨避險最適避險比率之探討,成功大學企業管理學系研究所碩士論文。
5. 傅鍾仁(1992),以石油期貨規避我國進口油價風險之研究,台灣大學財務金融學研究所碩士論文。
6. 游儲宇(2006),報酬率與變異數極小避險策略的關係,淡江大學財務金融所碩士論文。
7. 魏志良(2002),國際股價指數期貨與現貨直接避險策略之研究,淡江大學財務金融所碩士論文。
英文部分
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