本文以國內之股價指數與指數期貨為主要研究對象，研究期間取自2007年1月1日開始至2011年12月31日，計有1244筆日資料觀察值及255筆週資料觀察值。利用DCC-GARCH模型估計出日避險比率後，運用日內資料評估以變異數及風險值為基礎的週避險績效後，試圖以基差、未平倉量、VIX、波動率、不同交易人交易情況等因素分析對週避險績之影響，找出那些對期貨避險有著較重要的影響因素，以利交易人能利用重要因素快速的找到投資決策。
實證結果發現現貨成交量、期貨成交量、現貨波動率對避險績效有顯著為正的影響；另在期貨波動率亦是顯著，但其相關性卻是負的。在不同類別交易人等因素發現，以變異數衡量避險績效時，個別交易人淨變動量、外資淨變動量、外資淨買超3000口以上、恐慌指數都是顯著的；以風險值衡量避險績效時，外資淨買超3000口以上、外資淨賣超3000口以上及恐慌指數變動率都是顯著的。

This thesis mainly focuses on the study of domestic stock index and stock index future selected from 1st January 2007 to 31st December 2011, containing 1244 accounts of daily information and 255 accounts of weekly information. After figuring out a rough daily hedging rate with DCC-GARCH model and evaluating the weekly hedging performance which is based on variation factor and risk value with daily information, the thesis tries to analyze the impact of such factors as basis, open interest, VIX, volatility, and different traders and transactions, etc, to the weekly hedging performance and spot the factors of high importance to risk avoidance with futures so that traders can make a quick decision with the help of such factors
    Practical results find that volume of spot trading, volume of future trading and volatility of spot trading have positive impact to the hedging performance; on the other hand, the volatility of future trading also has an appreciable while negative correlation. The studying on different groups of traders finds that when measuring the hedging performance with variation value, the net value of variation of an individual trader, net value of variation of foreign investment, the net purchase of foreign investment over 3000 positions and the volatility index all have appreciable impacts; when measuring the hedging performance with risk value, the net purchase of foreign investment over 3000 positions, the net sale of foreign investment over 3000 positions and the variation rate of volatility index all have appreciable impacts.

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	4
第四節  研究流程	5
第二章  避險理論及文獻回顧	6
第一節  避險理論	6
第二節  國外文獻回顧	14
第三節  國內文獻回顧	17
第三章  研究方法	21
第一節  單根檢定	21
第二節  ARCH效果檢定	26
第三節  DCC（Dynamic Conditional Correlation）模型	29
第四節  避險績效的衡量	32
第五節  避險因素方程式	34
第四章  實證結果與分析	37
第一節 資料來源與變數定義	37
第二節 樣本資料的基本統計量	36
第三節 單根檢定	39
第四節 ARCH效果檢定	42
第五節 模型之估計	44
第六節 實證結果之模型分析	45
第伍章  結論	49
參考文獻	51

表目錄
【表4-2-1】台指現貨、期貨日報酬率之基本統計量	39
【表4-2-2】台指現貨、期貨週報酬率之基本統計量	40
【表4-2-4】交易人買賣及波動率之基本統計量	41
【表4-3-1】台指現貨、期貨時間序列之單根檢定	42
【表4-4-1】台指現貨與期貨ARCH效果檢定	43
【表4-5-1】樣本內DCC-GARCH模型各項參數估計結果	44
【表4-6-1】影響避險績效之因素一	47
【表4-6-2】影響避險績效之因素二	48

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二、	國內文獻	
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37.	李命志，賴曉萍，(2009)，「台灣50 ETF(TTT)避險策略研究」，淡江大學財務金融學系碩士在職班。
38.	邱建良，陳玉瓏，王怡文，(2007)，「西德州與布蘭特原油避險策略」，淡江大學財務金融學系碩士班。
39.	邱哲修，林卓民，洪瑞成，柯月華，(2005)，「價格跳躍與避險策略之探討-以道瓊工業指數現貨與期貨為例」，財金論文叢刊2004年6月，第一期，1-23。
40.	邱美卿與周雨田，(2007)，「DCC 模型族下外匯期貨避險績效之分析」，國立交通大學經營管理研究所碩士論文。
41.	沈育展‧洪瑞成‧邱建良‧李命志，(2004)，「日經225指數期貨之避險績效與最適避險策略之探討」，輔仁管理評論第十一卷第一期，153-180。
42.	林東炘(2007)，「基差不對稱、交易行為對避險績效的影響」，中正大學財務金融所碩士論文。
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46.	洪慎慈，周雨田與鍾惠民，(2006)「風險值衡量：變幅DCC 模型的應用」，國立交通大學財務金融研究所碩士論文。
47.	徐偉書(2008)，「動態避險下基差與負面衝擊的不對稱效果」，淡江大學財務金融學系碩士論文。
48.	陳昱宏，周雨田與史綱，(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學系碩士論文。
49.	黃俞珮(2011)，「波動行為，基差與條件分配能提升股價指數期貨避險績效嗎？」，高雄第一科大風險管理與保險所碩士論文
50.	劉炳麟，周雨田與周賓凰，(2002)，「CARR 模型之實證研究-以台股指數為例」，國立中央大學財務金融學系碩士論文。
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