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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23652


    Title: 基差訊息運用對避險績效之影響
    Other Titles: The Effect of Hedging Performance Using Basis Information
    Authors: 李命志;吳佩珊;鄭婉秀
    Contributors: 淡江大學財務金融學系
    Keywords: 基差;避險比例;避險績效;股價指數期貨;GARCH模型
    Date: 2004-01
    Issue Date: 2009-11-30 17:48:04 (UTC+8)
    Publisher: 台中市:朝陽科技大學管理學院
    Abstract: 本文結合避險與基差的概念,討論MSCI與TAIFEX兩種台股指數期貨的避險工具,在加入基差後是否得以提升避險績效,而避險效果是否也會隨著持有避險期間的長短而有所差異。實證結果顯示基差與現貨、期貨之報酬呈現負向關系,而不同程度之基差確實會對資產報酬產生不對稱衝擊,由此顯見基差對市場之影響力。本文以未加入基差之模型為一對照組,比較兩者之避險績效,結果發現不論在何種情形下,加入基差之模型確實有較佳之避險績效。另外,以一個月為估計其間所做算出之避險績效明顯優於估計期間為三個月期時之績效,而避險期間越長,避險績效愈佳。
    Relation: 朝陽商管評論 3(1),頁 101-120
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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