金磚五國(BRICS)在近幾年憑藉天然資源、勞動人力等優勢，已成全球經濟增長的重要源頭。與五國市場相關的衍生性商品受到投資人的青睞，其中，金磚五國的交易所推出的股價指數期貨，提供了股票持有人一個良好的避險工具，如何進行有效的避險，為本文研究探討的重點。
本文現貨與期貨的研究資料使用巴西IBOVESPA指數、俄羅斯RTS指數、印度S&P CNX NIFTY指數、中國CSI300指數以及南非FTSE/JSE Shareholder Weighted Top40 指數。本文主要採用Copula-based GJR-GARCH 模型估計現貨與期貨報酬的最小變異避險比率，並和傳統避險模型、固定條件相關係數之CCC-GJR-GARCH模型以及動態條件相關係數之DCC-GJR-GARCH模型進行各個模型的避險績效之比較，找出最適的避險比率和最佳的模型。實證結果發現，除了中國CSI300指數外，其它四國在樣本內及樣本外的績效評估檢定下，均以Copula為基礎的GJR-GARCH模型的避險績效較傳統OLS模型佳。

In recent years, BRICS have become vital sources of growth in the global economy by the advantage of the natural resources and labor force. Derivatives products of BRICS market are favored by investors, including stock index futures are listed on the BRICS Exchanges, provide a good hedging tool for stock holders. The focus of this paper is how to conduct an effective hedging.
The main data for empirical study consists of the IBOVESPA index, the RTS index, the S & P CNX NIFTY index, China Securities Index 300 (CSI 300) index and FTSE/JSE Shareholder Weighted Top40 index spots and futures. This paper uses copula-based GJR-GARCH models for the estimation of the optimal hedge ratio and compares their effectiveness with that of other hedging models, including the conventional static, the constant conditional correlation (CCC) GJR-GARCH, and the dynamic conditional correlation (DCC) GJR-GARCH models. The empirical results show that in both the in-sample and out-of-sample tests, the copula-based GJR-GARCH models perform more effectively than OLS model, except for CSI 300 index.

目  次
謝辭I
表次V
圖次VI
第一章	緒論1
第一節	研究背景與動機1
第二節	研究目的5
第三節	研究架構與流程6
第二章	理論與文獻回顧8
第一節	股價指數期貨契約規格介紹8
第二節	避險理論10
第三節	避險模型相關文獻13
第三章	研究方法20
第一節	Copula介紹20
第二節	避險模型25
第三節	避險績效指標31
第四章	實證結果與分析32
第一節	資料來源與型態32
第二節	實證方法與過程33
第三節	實證結果分析36
第四節	績效評估	51
第五章	結論與建議55
第一節	結論55
第二節	建議57
參考文獻58
一、中文文獻58
二、英文文獻59
附錄63

表  次
表1 BRICS的股價指數期貨契約規格9
表2 避險理論比較12
表3 避險模型近年相關文獻統整19
表4 資料統整33
表5 敘述統計量37
表6 單根檢定和結構轉變檢定39
表7 CCC-GJR-GARCH模型之參數估計42
表8 DCC-GJR-GARCH模型之動態相關係數參數估計43
表9 Copula-based GJR-GARCH模型之參數估計45
表10 不同避險模型之樣本內績效評估52
表11 不同避險模型之樣本外績效評估(避險期間為10天)53
表12 不同避險模型之樣本外績效評估(避險期間為20天)54

圖  次
圖1 研究架構圖7
圖2 移動視窗方法34
圖3 實證方法流程35
圖4 巴西現貨期貨價格和報酬率序列40
圖5 巴西現貨(左)和期貨(右)報酬率之常態分配檢定40
附圖1 俄羅斯現貨期貨的價格和報酬率序列63
附圖2 印度現貨期貨的價格和報酬率序列63
附圖3 中國現貨期貨的價格和報酬率序列64
附圖4 南非現貨期貨的價格和報酬率序列64
附圖5 俄羅斯現貨(左)和期貨(右)常態分配檢定65
附圖6 印度現貨(左)和期貨(右)常態分配檢定65
附圖7 中國現貨(左)和期貨(右)常態分配檢定65
附圖8 南非現貨(左)和期貨(右)常態分配檢定65

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