淡江大學機構典藏:Item 987654321/31521
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 64178/96951 (66%)
造訪人次 : 9304658      線上人數 : 212
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/31521


    題名: 原油與黃金之最適避險策略
    其他題名: The optimal hedging strategy for crude oil and gold
    作者: 廖本煌;Liao, Pen-huang
    貢獻者: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-liang
    關鍵詞: OLS;ECM;GARCH;GARCH-NoVaS;避險;OLS;ECM;GARCH;GARCH-NoVaS;Hedging
    日期: 2009
    上傳時間: 2010-01-11 00:51:29 (UTC+8)
    摘要: 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.
    顯示於類別:[財務金融學系暨研究所] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    0KbUnknown271檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋