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系統識別號 U0002-2506201200511000
中文論文名稱 以ARJI模型重新檢視最適避險策略
英文論文名稱 Reexamine optimal hedging strategy based on ARJI model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 100
學期 2
出版年 101
研究生中文姓名 陳甄燕
研究生英文姓名 Chen-Yen Chen
學號 799530067
學位類別 碩士
語文別 中文
口試日期 2012-05-05
論文頁數 61頁
口試委員 指導教授-邱建良
共同指導教授-洪瑞成
委員-姜淑美
委員-李命志
委員-郭彥谷
中文關鍵字 ARJI模型  GARCH模型  避險比率  避險績效  風險值  條件風險值 
英文關鍵字 ARJI  GARCH  Hedge Ratio  Hedge Performance  VaR  CVaR 
學科別分類
中文摘要 本研究以美國芝加哥商業交易所(CME)的S&P500 指數期貨、COMEX黃金期貨及NTMEX西德州原油期貨來進行對其現貨市場的避險,研究期間取自2001年1月1日至2011年12月31日止。運用不同避險績效的衡量方法,包括變異數(Variance)與半變異數(semi-variance)、風險值(VaR)、條件風險值(CVaR)等來估計OLS、CCC-GARCH、DCC-GARCH、使用ARJI調整後之CCC-GARCH及DCC-GARCH等避險模型之樣本外避險績效。
實証結果顯示在S&P500或是西德州石油的日及週避險績效上,調整前之避險績效大多優於調整後,此與Hyde, Nguyen and Poon (2008)結果不一致。可能原因為研究的標的為股票的投資組合,且其估計的資產個數很多,為MSCI 34個不同國家的指數,其相關性較低。在黃金的避險上所得到得結果則與Hyde, Nguyen and Poon (2008) 結果一致,不管是在週或是日的避險績效上都是調整後的模型優於調整前。另在逐日避險跟採用週避險策略並無太大差別。但投資人考慮的下方風險,採週避險策略下,則調整後之模型會比沒調整前之模型,更能提供此類投資人更好的避險績效。
英文摘要 This study is to conduct hedging the cash markets of the S&P 500 index futures, COMEX gold futures of U.S. Chicago Mercantile Exchange (CME) and NTMEX West Texas crude oil futures. The study period is taken from January 1, 2001 as of December 31, 2011. Measurement methods of different hedge performance, including variance and semi-variance, VaR, etc. will be applied to estimate OLS, CCC-GARCH, DCC-GARCH, and out-of-sample hedge performance of CCC-GARCH and DCC-GARCH and other hedge models adjusted by using ARJI.
The results shown that the daily or weekly hedge performance of S&P 500 or West Texas Crude oil before the adjustment is more excellent than that after the adjustment, which is not consistent with the results of Hyde, Nguyen and Poon (2008). The possible reason is that the study object is stock investment group and the numbers of estimated capitals are many—index of MSCI 34 different countries, which has lower relevance. The results obtained on the hedge of gold are in consistent with the results of Hyde, Nguyen and Poon (2008). Both the daily and weekly hedge performance are better than those before the adjustment. In addition, day by day hedge policy and weekly hedge policy have no big difference.If the investors care more about the downside risk, and apply weekly hedge policy, the models being adjusted will provide better hedge performance for those investors before the adjustment.
論文目次 目錄
第一章 緒 論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構與流程 4
第二章 理論基礎與文獻探討 6
第一節 避險理論回顧 6
第二節 S&P500、原油及黃金避險相關文獻回顧 9
第三節 本章綜論 18
第三章 研究方法 19
第一節 資料穩定性與單根檢定 19
第二節 ARCH效果檢定 24
第三節 避險模型 27
第四節 避險績效的衡量 34
第四章 實證結果與分析 38
第一節 資料來源與變數定義 38
第二節 樣本資料的基本統計量 39
第三節 實證模型之結果分析 48
第伍章 結論 56
參考文獻 58

表目錄
【表2-2-1】S&P500 避險相關文獻回顧 12
【表2-2-2】西德州原油避險相關文獻回顧 15
【表2-2-3】黃金避險相關文獻回顧 17
【表4-2-1】S&P500、黃金、西德州原油報酬率之日基本統計量 39
【表4-2-2】S&P500、黃金、西德州原油報酬率之週基本統計量 40
【表4-2-3】S&P500、黃金、西德州原油現貨時間序列資料之單根檢定(差分項) 41
【表4-2-4】S&P500、黃金、西德州原油現貨與期貨指數ARCH效果檢定 42
【表4-2-5】S&P500指數之參數估計值(日) 43
【表4-2-6】黃金指數之參數估計值(日) 43
【表4-2-7】西德州原油之參數估計值(日) 44
【表4-2-8】S&P500指數之參數估計值(週) 45
【表4-2-9】黃金指數之參數估計值(週) 45
【表4-2-10】西德州原油之參數估計值(週) 46
【表4-2-11】S&P500、黃金及西德州原油之ARJI參數估計值 47
【表4-3-1】避險模型及衡量方法之樣本外避險績效(日) 49
【表4-3-2】S&P500、黃金、西德州石油最佳避險模型(日) 51
【表4-3-3】調整前後之最佳GARCH避險模型(日) 51
【表4-3-4】避險模型及衡量方法之週樣本外避險績效(週) 53
【表4-3-5】S&P500、黃金、西德州石油最佳避險模型(週) 54
【表4-3-6】調整前後之最佳GARCH避險模型(週) 55

圖目錄
【圖1-3-1】研究流程圖 5
參考文獻 中文期刊
李亦屏,2004,黃金期貨之避險分析,中原大學企業管理學系碩士論文。
李應勳,2005,原油價格波動與避險策略之研究,淡江大學財務金融研究所碩士論文。
邱哲修,林卓民,洪瑞成,徐明傑,2005,價格不連續下的最適避險策略-ARJI模型之應用,計量管理期刊,第二卷第二期,p.189-206。
周雨田、巫春洲、劉炳麟,2004,動態波動模型預測能力之比較與實證,財金論文叢刊2004 年6月,第十二卷第一期,p.1-25。
張育達,1991,「期貨契約最適避險策略之研究:以股價指數期貨為例」,國立台灣大學財務金融研究所碩士論文。
陳昱宏,2005,「利用DCC-CARR及DCC-GARCH模型求算商品期貨最適避險比率」,國立中央大學財務金融研究所碩士論文。
郭奇武,2009,台灣黃金期貨與現貨避險策略探討,國立成功大學企業管理學系碩士論文。
廖本煌,2008,原油與黃金之最適避險策略,淡江大學財務金融學系碩士論文。
謝秀鑾,2004,能源期貨避險策略之研究-以西德州原油與布蘭特原油為例,淡江大學財務金融研究所碩士論文。
賴昌作,2000,股價指數期貨之避險比率與避險效益 」,國立台灣科技大學資訊管理系碩士論文。

英文期刊
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