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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31472


    Title: 臺灣50 ETF(TTT)避險策略研究
    Other Titles: The research of hedging strategies for TTT
    Authors: 賴曉萍;Lai, Hsiao-ping
    Contributors: 淡江大學財務金融學系碩士在職專班
    李命志;Lee, Ming-chih
    Keywords: 避險;ETF;TTT;GARCH模型;0050;hedge;ETF;TTT;0050;GARCH
    Date: 2009
    Issue Date: 2010-01-11 00:46:58 (UTC+8)
    Abstract: 論文提要內容:
    本研究將台股期貨指數及寶來台灣卓越50 ETF (TTT , 0050)以運用OLS模型、VAR、單變量GARCH(1,1)與雙變量GARCH(1,1)等避險模型來估計避險比率,並比較兩種避險工具在不同模型下之避險績效,以確認寶來台灣卓越50 ETF基金是否適合作為避險工具,供投資大眾參考。
    實證結果顯示,台灣期貨指數及台灣50 ETF在四種避型下,都可得到很好的避險效果,而且避險績效差異不大,其中雙變量GARCH(1,1)模型避險有較佳的避險績效,而VAR避險模型和傳統OLS模型的避險績效非常相近,最差為單變量GARCH(1,1)模型。此外實證結果也顯示,不論那一種避險模型,台灣期貨指數皆比台灣50 ETF的避險績效較佳,表示台灣期貨指數還是最主要的避險工具,不過,差距並不大,加上台灣期貨指數有到期日的問題,還須面臨每月結倉、轉倉、交易成本、價差風險等問題,而ETF不但能夠進行信用交易,又沒有到期日風險與轉倉困擾,都是ETF相對期指優異之處。因此,本研究經由實證結果及實際市場操作了解,在避險績效差異不大的情況下,ETF是可以作為避險的替代工具,而本研究也希望能讓台灣的投資人能真正了解ETF的特性,在投資上獲得更大的效益。
    Abstract:
    This paper considers hedge and basis simultaneously to investigate Polaris Taiwan Top 50 Tracker Fund(TTT) and TAIFEX Stock Index futures, and we compare which is appropriate to hedge the TSEC Taiwan 50 Index. It compares the hedging effectiveness in traditional OLS model, univariate GARCH, bivariate GARCH model and VAR model. The main empirical results are as follows, we find the significance of unit roots and thus the non-stationary of the price series, so price series should be differenced to induce stationary. The bivariate GARCH model outperforms all other hedging models , and TAIFEX Stock Index futures is the better instrument to hedge the TTT. However, the TAIFEX and TTT the variance gap is not large, and TAIFEX transactions more difficult then ETF. Therefore, by the empirical results of this study and practical understanding of market operations, ETF is an alternative can be used as hedging tools.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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