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    Title: 原油與黃金之最適避險策略
    Other Titles: The optimal hedging strategy for crude oil and gold
    Authors: 廖本煌;Liao, Pen-huang
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-liang
    Keywords: OLS;ECM;GARCH;GARCH-NoVaS;避險;OLS;ECM;GARCH;GARCH-NoVaS;Hedging
    Date: 2009
    Issue Date: 2010-01-11 00:51:29 (UTC+8)
    Abstract: 根據Markowitz(1952)年提出投資組合理論(portfolio theory),投資組合的風險可分成系統風險及非系統風險。系統風險與總體經濟有關,無法藉由分散投資降低。一旦景氣波動,資產價值也跟著波動。為了不讓自身的資產價值受到景氣波動的影響,除了關注國內外的經濟、金融甚至政治情勢外,對自身資產的保值有必要採取更積極的作為,而「避險」就是最好因應措施。因為期貨具有「現貨替代」功能,現貨與期貨搭配作為投資組合可作為短期避險的工具,又因為契約標準化、高度市場效率及流通性等優點,成為規避金融風險主要工具之一。
    本研究以避險為主軸,利用黃金、西德州原油期貨做避險,以OLS、ECM 、GARCH及GARCH-NoVaS四個模型在不同的期間下,比較其避險績效。實證結果如下:
    一、基差變動不大,利用本研究四個模型來做避險,其避險績效相差不到1%。
    二、當基差急遽變化,以傳統的OLS模型來做避險較佳。GARCH模型避險績效不佳。
    三、以西德州原油為例,除了天真避險外,所有模型的避險比率皆小於1。
    According to the portfolio theory proposed by Harry M. Markowitz in1952, the risk of portfolio can be classified into systematic risk and non-system risk. Systematic risk is related to Macroeconomics, and it can not be reduced by diversifying the investment. Once business cycle fluctuates, the value of assets will also change. Therefore, for the purpose of not depreciating our assets influenced by the economy, finance, and politics, we must actively protect our assets from losing its value. And hedging is the best way to prevent our asset from depreciating.
    Hedging is the main part of this thesis. We use gold and crude oil futures to hedge and use different models like OLS, ECM, GARCH, and GARCH-NoVas model. We also compare their hedging effectiveness with different models.
    The empirical results show that first of all, if the basis doesn’t highly vary, the difference of the hedging effectiveness is less than 1% among the four models. Second, when the basis highly varies, OLS is the best model to hedge. The hedging effectivess of GARCH model doesn’t perform well among the four models. Third, the example of WTI crude oil illustrates that all models’ hedging ratios are less than 1 compared with naïve hedging.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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