系統識別號 | U0002-2706201411325500 |
---|---|
DOI | 10.6846/TKU.2014.01108 |
論文名稱(中文) | 最小變異數避險組合的避險效益:以布蘭特原油為例 |
論文名稱(英文) | Hedging Effectiveness of Minimum Variance Hedging Portfolio: The Case of Brent Crude Oil |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 管理科學學系碩士班 |
系所名稱(英文) | Master's Program, Department of Management Sciences |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 102 |
學期 | 2 |
出版年 | 103 |
研究生(中文) | 陳伯杰 |
研究生(英文) | Po-Chieh Chen |
學號 | 600620438 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2014-06-23 |
論文頁數 | 35頁 |
口試委員 |
指導教授
-
莊忠柱
委員 - 林忠機 委員 - 婁國仁 |
關鍵字(中) |
C-GARCH-BEKK模型 風險值 預期不足額 低偏動差 避險效益 |
關鍵字(英) |
C-GARCH-BEKK Value at risk Expected shortfall Lower partial moments Hedging effectiveness |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
原油價格波動易受國際政經局勢影響,如何針對原油價格波動進行避險已成為投資人的主要課題之一。本研究以2012年至2014年英國布蘭特原油價格為研究對象,利用移動視窗(rolling window)法探討樣本外(out of sample)條件最小變異數避險組合之避險效益,針對無避險模型、天真避險模型、傳統普通最小平方法模型與C-GARCH-BEKK(1,1)模型下短與長部位避險組合的變異數、風險值、預期不足額與低偏動差,比較避險效益的優劣。 本研究發現整體上樣本外避險效益優於樣本內避險效益,顯示動態的避險較靜態避險來的佳。在變異數與LPM且短或長部位避險組合時,OLS模型提供了較佳的避險效益,而以VaR或ES為條件下時,則C-GARCH-BEKK(1,1)模型提供了較佳的避險效益。本研究可為投資人在風險控管的參考。 |
英文摘要 |
The situations of international political and economic affect the crude oil price volatility dramatically. How to hedge for the crude oil price volatility is one of the main topic for the investors. The data of Brent crude oil spot and futures daily price cover the time-span from 2012 to 2014. Based on rolling window framework, this study investigated the hedging effectiveness of conditional minimum variance hedging portfolio of out-of-sample. The results show that the hedging effectiveness of variance, value at risk, expected shortfall and lower partial moments of the unhedging model, the navie model, the OLS model and the C-GARCH-BEKK(1,1) model for short and long hedged portfolios, and the hedging effectiveness is compared. The results showers that hedging effectiveness from out-of-sample method dominate the one from in-sample, and dynamic hedge is better than static hedge. The OLS model shows better hedging effectiveness in variance and LPM for short and long hedged portfolios. The C-GARCH-BEKK(1,1) model shows better hedging effectiveness in VaR and ES for short and long hedged portfolios. The results provide references to the investors in risk management. |
第三語言摘要 | |
論文目次 |
目錄 頁次 目錄…………………………………………………………………………Ⅰ 表目錄………………………………………………………………………Ⅲ 圖目錄………………………………………………………………………Ⅳ 第一章、緒論………………………………………………………………1 1.1研究背景與動機…………………………………………………1 1.2研究目的…………………………………………………………8 1.3研究架構及流程…………………………………………………8 1.4研究範圍與限制………………………………………………10 第二章、樣本與方法………………………………………………………11 2.1研究樣本與資料來源………………………………………………11 2.2實證模型……………………………………………………………11 2.3最小變異數避險組合的避險效益衡量……………………………12 第三章、實證結果分析……………………………………………………17 3.1基本敘述統計分析…………………………………………………17 3.2單根檢定……………………………………………………………19 3.3 C-GARCH-BEKK(1,1)模型參數的估計與檢定……………………20 3.4最小變異數避險組合的避險效益分析……………………………23 第四章、結論與建議………………………………………………………27 4.1結論…………………………………………………………………27 4.2建議…………………………………………………………………27 參考文獻…………………………………………………………………29 一、中文部分………………………………………………………………29 二、英文部分………………………………………………………………30 表目錄 頁次 表3-1 研究變數的日報酬基本敘述統計量分析…………………………19 表3-2 布蘭特原油現貨與期貨報酬的單根檢定…………………………20 表3-3 C-GARCH-BEKK(1,1)模型的參數估計與檢定…………………22 表3-4 避險比率敘述統計量分析…………………………………………24 表3-5 避險模型的避險效益………………………………………………25 表3-6 各避險模型避險績效的統計比較…………………………………26 圖目錄 頁次 圖1-1研究流程……………………………………………………………9 圖3-1布蘭特原油現貨及期貨價格與日報酬時間的走勢圖……………17 圖3-2移動視窗架構示意圖………………………………………………21 圖3-3模型避險比率走勢圖………………………………………………23 |
參考文獻 |
參考文獻 一、中文部分 1.沈大白、柯瓊鳳與鄒武哲,1998。風險值衡量模式之探討 -以臺灣上市公司權益證券為例,東吳經濟商學學報, 第二十二期,頁57-76。 2.林淑蓉,2006。風險值與風險管理策略之研究,國立中央 大學財務金融系碩士論文,頁4-5。 3.高麗琪,2004。低偏動差與變異數之遠期外匯避險績效比較,中原大 學國際貿易系碩士論文,頁5-10。 4.許晉雄、鄒慶士與葉柏緯,2010。不同風險衡量下效率投資組 合之比較分析,東吳經濟商學學報,第七十期,頁30-33。 5.陳讚煌,2009。石油供需及價格波動之現況與展望,海峽評 論,第二一八期,頁18-20。 6.黃聖志、蘇欣玟與杜國賓,2008。避險基金指數之風險值探 討,商管科技季刊,第九卷,第三期,頁277-300。 7.鄒易凭,2007。原油現貨對高敏感性原油相關產業之連動 性影響,淡江大學財務金融系碩士論文,頁9-19。 8.劉洪鈞、黃聖志與王怡文,2008。西德州與布蘭特原油避險 策略,真理財經學報,第十八期,頁71-98。 二、英文部分 1.Acharya, V., L. Pedersen, T. Philippen and M. Richardson(2010). Measure systemic risk, working paper. NYU. 2.Anderson, F., H. Mausser, D. Rosen and S. Uryasev.(2001). Credit risk optimization with conditional value-at-risk criterion. Mathematical Programming, Series B, 89(2), p.273–291. 3.Angelidis, T. and A. Benos(2008). Value-at-risk for Greek stocks. Multinational Finance Journal. 12(1), p.67-104. 4.Angelidis, T., A. Benos and S. Degiannakis.(2007). A robust VaR model under different time periods and weighting schemes. Review Quantitative Finance and Accounting. 28(2), p.187-201. 5.Artzner, P., F. Delbaen, J.M. Eber and D. Heath(1997). Thinking coherently. Risk. 10(11), p.68-71. 6.Artzner, P., F. Delbaen, J.M. Eber and D. Heath(1999). Coherent measures of risk. Mathematical Finance. 9(3), p.203-228. 7.Bawa, V.S.(1975). Optimal rules for ordering uncertain prospects. Journal of Financial Economics. 2(1), p.95-121. 8.Bollerslev, T., R.F. Engle and J.M. Wooldridge(1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy. 96(1), p.116-131. 9.Brooks, C., O.T. Henry and G. Persand(2002). The effects of asymmetries on optimal hedge ratios. Journal of Business. 75(2), p.333-352. 10.Cabedo, J. D., and I. Moya(2003). Estimating oil price value at risk using the historical simulation approach. Energy Economic. 25(3), p.239-253. 11.Caporin, M. and M. McAleer(2008). Scalar BEKK and indirect DCC. Journal of Forecasting. 27(6), P.537-549. 12.Cecchetti, S., R. Cumby and S. Figlewsk(1988). Estimation of the optimal futures hedge. Review of Economics and Statistics. 70(4), p.623-630. 13.Chang, C. L., M. McAleer and R. Tansuchat(2011). Crude oil hedging strategies using dynamic multivariate GARCH. Energy Economics. 33(5), p.912-923. 14.Chen, S. W. and C. H. Shen(2004). GARCH, Jumps and permanent and transitory components of volatility: The case of the Taiwan exchange rate. Mathematics and Computer in Simulation. 67(3), p.201-216. 15.Cheng, W. H. and J. C. Hung(2011). Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal assert returns. Journal of Empircal Finance. 18(1), p.160-173. 16.Cotter, J. and J. Hanly(2006). Re-examining hedging performance. Journal of Futures Markets. 26(7), p.677-702. 17.Cotter, J. and J. Hanly(2012). Hedging effectiveness under conditions of asymmetry. The European Journal of Finance. 18(2), p.135-147. 18.Cremers, J., M Kritzman and S. Page(2005). Optimal hedge fund allocations. Journal of Portfolio Management. 31(3), p.70-81. 19.deGoeij, P. and W. Marquering(2004). Modeling the conditional covariance between stock and bond returns: A multivariate GARCH approach. Journal of Financial Econometrics. 2(4), p.531-564. 20.Demirer, R. and D. Lien(2003). Downside risk for short and long hedgers. International Review of Economics and Finance. 12(1), p.25-44. 21.Ederington, L.(1979). The hedging performance of the new futures markets. Journal of Finance. 34(1), p.157-170. 22.Efron, B(1979). Bootstrap methods: Another look at the Jack-knife. The Annals of Statistics. 7(1), p.1-26. 23.Fishburn, P.(1977). Mean-risk analysis with risk associated with below-target returns. The American Economic Review. 67(2), p.116-126. 24.Gao, F. and F. Song(2008). Estimation risk in GARCH VaR and ES estimates. Econometric Theory. 24(5), p.1404-1424. 25.Giot, P. and S. Laurent(2003). Value-at-risk for long and short trading positions. Journal of Applied Econometrics. 18(6), p.641-663. 26.Glosten, L.R., R. Jagannathan and D.E. Runkle(1993). On the relationship between the expected value and the volatility of the normal excess return on stocks. Journal of Finance. 48(5), p.1779-1801. 27.Gupta, A. and B. Liang(2005). Do hedge funds have enough capital? A value-at-rsik approach. Journal of Financial Economices. 55(2), p.163-172. 28.Harlow, W. V. and Ramesh K. S. Rao.(1989). Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. Journal of Financial and Quantitative Analysis. 24(3), p.285-312. 29.Hung, J. C., C. L. Chiu and M. C. Lee(2006). Hedging with zero -value at risk hedge ratio. Applied Financial Economics. 16(3), p.259-269. 30.Kavussanos, M. and I. Visvikis(2008). Hedging effectiveness of the athens stock index futures contracts. The European Journal of Finance. 14(3), p.243-270. 31.Lee, W. and R. Rao(1988). Mean lower partial moment valuation and lognormally distributed returns. Management Science. 34(4), p.446-453. 32.Lenza, A., M. Manera and M. McAleer(2006). Modeling dynamic conditional correlations in WTI oil forward and futures returns. Finance Research Letters. 3(2), p.114-132. 33.Lien, D. and Y. Tse(2002). Some recent developments in futures hedging. Journal of Economic Surveys. 16(3), p.357-396. 34.Lien, D. and L.Yang(2006). Spot-futures spread, time-varying correlation, and hedging with currency futures. Journal of Futures Markets. 26(10), p.1019-1038. 35.Liu, H. and J. C. Hung(2010). Forecasting volatility and capturing downside risk of the Taiwanese futures markets under the financial tsunami. Managerial Finance. 36(10), p.860-875. 36.Markowitz, H.(1952). Portfolio selection. The Journal of Finance. 7(1), p.77-91. 37.Mattos, F., P. Garcia and C. Nelson.(2006). Relaxing standard hedging assumptions in the presence of downside risk. Forthcoming. Quarterly Review of Economics and Finance. 48 (1), p.78-93. 38.McNeil, A. J., R. Frey and P. Embrechts(2005). Quantitative risk management: Concepts, techniques, tools. Princeton University Press. 39.Obi, P., S. Sil and J. G. Choi(2010). Value-at-risk with time varying volatility in south African equities. Journal of Gobal Business and Technology. 6(2), p.1-11. 40.Pflug, G. Ch.(2000). Some remarks on the value-at-risk and the conditional value-at-risk. In “Probabilistic constrained optimization: Methodology and applications”, Ed. S. Uryasev. Kluwer Academic Publishers. 41.Price, K., B. Price and T. Nantell(1982). Variance and lower partial moment measures of systematic risk: Some analytical and empirical results. Journal of Finance. 37(3), p.843-855. 42.Rockafellar, R. T. and S. Uryasev(2000). Optimization of conditional value-at-risk. Journal of Risk. 7(2), p.21-41. 43.Sadeghi, M. and S.Shavvalpour(2006). Energy risk management and value at risk modeling. Energy Ploicy. 34(18),p.3367-3373. 44.So, M. K. P. and P. L. H. Yu(2006). Empirical analysis of GARCH models in value at risk estimation. International Financial Markets, Institutions and Money. 16(2), p.180-197. 45.Sultan, A. and B. Hasan(2008). The effectiveness of dynamic hedging: Evidence from selected European stock index futures. The European Journal of Finance. 14(6), p.469-488. 46.Switzer, L., and M. El-Khoury(2007). Extreme volatility, Speculative efficiency and the hedging effectiveness of the oil futures markets. Journal of Futures Markets. 27(1), p.61-84. 47.Yamai, Y. and T.Yoshiba(2005). Value-at-risk versus excepted shortfall: A practical persppective. Journal of Banking and Finance. 29(4), p.997-1015. |
論文全文使用權限 |
如有問題,歡迎洽詢!
圖書館數位資訊組 (02)2621-5656 轉 2487 或 來信