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    Title: 指數期貨於股票型基金避險之研究
    Other Titles: The study of the use of stock index futures to hedge equity funds
    Authors: 陳順揚;Chen, Shun-yang
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱忠榮;Chiou, Jong-rong
    Keywords: 避險;濾嘴;hedging;filter
    Date: 2006
    Issue Date: 2010-01-11 01:05:52 (UTC+8)
    Abstract: 近年來股票型基金已普遍的為投資人所接受的投資工具。股票型基金雖可分散非系統風險,對於系統風險仍需透過衍生性商品(如期貨、選擇權)進行規避。就目前國內投資環境與相關法令規定,個別投資人於投資股票型基金時仍須面臨許多問題,例如:
    1. 國內股票型基金進行空頭避險時,避險比率不得大於1。
    2. 國內股票型基金通常有持股最低之門檻限制。
    3. 多數國內股票型基金未進行避險。
    4. 個別投資人若不自行避險,則需要承擔系統風險。
    本研究假設個別投資人申購基金並自行運用台灣期貨交易所推出之台灣發行量加權股價指數期貨自行避險,觀察扣除避險成本(如交易手續費、期交稅與避險損益)後,投資組合之績效表現。
    挑選2003年1月至2005年12月間74檔未進行避險之基金進行分析,假設投資人自行依照Jensen模型中β係數進行避險,並觀察:
    1. 2003年5月2日至2005年12月30日期間,扣除交易手續費、期交稅與避險損益後,74檔基金避險後投資組合績效(買基金、空期貨)表現與風險降幅。
    2.考慮以濾嘴作為期貨避險進出場依據,觀察基金投資組合同上觀察期間常態性避險與使用濾嘴避險績效表現及風險降幅。
    3.考慮特殊事件319槍擊案前後一週,避險後投資組合績效表現及風險降幅。
    研究發現:
    1. 2003年5月2日至2005年12月30日期間,74檔未避險基金中, 12檔報酬波動率小於大盤、報酬率優於大盤。成對樣本t檢定之p-value皆達1%顯著水準。避險後投資組合之風險降幅介於7.85%~43.24%之間。
    2. 影響報酬率的主要因素:避險成本是影響避險後績效的主要因素。
    3. 74檔基金經4%濾嘴避險後60檔投資組合報酬波動率小於大盤且報酬優於大盤,成對樣本t檢定之p-value皆達1%顯著水準。風險降幅介於12.75%~24.68%。4. 319槍擊前後一週, 25檔報酬波動率低於大盤且為正報酬。74檔基金避險前與避險後成對樣本t檢定之p-value皆達5%顯著水準。風險降幅介於33.41%~80.02%。
    While the unsystematic risk of equity funds could be reduced through portfolio diversification, their systematic risk could only be hedged using derivatives like futures and options. Nonetheless, equity funds’ investors could still have considerable exposure to the systematic risk due to the current restrictions imposed on equity funds and the investment practice in Taiwan:
    1. The futures position that an equity fund is permitted to hold can not exceed that of its stock holdings regardless of what the beta of its stock holdings is.
    2. The equity funds are normally required to hold a minimum level of stock holdings at all time regardless of how bearish the market is.
    3. A majority of equity funds do not hedge their stock holdings at all.
    This research, assuming that the investors of the equity funds could personally hedge their investment in the funds with Taiwan Stock Index Futures, analyzes and compares the performance under the following hedging scenarios:
    1. The funds are not hedged at all.
    2. The funds are hedged at all time for the entire period.
    3. The funds are hedged selectively with 4% filter.
    4. The funds are hedged only prior to the extraordinary event of 319. In the analysis, the β used in the hedging ratio will be computed from Jensen Model and the hedging cost will include the brokerage commission, transaction tax, and trading loss of the hedging position.
    Using the historical data of the 74 equity funds from January 2003 to December 2005 and applying the various hedging strategies described above, the following results are observed:
    1.When the funds are hedged throughout the period, 12 out of 74 funds have lower risk and higher return than the TAIEX. Pair T test is performed resulting in a finding being statistically significant at 1% level. The degree of risk decrease is found to be in the range of 7.85% to 43.24%.
    2.When the funds are hedged selectively with the use of filter, 60 out of 74 funds have lower risk and higher return than the TAIEX. Pair T test is also performed resulting in a finding being statistically significant at 1% level. The degree of risk decrease is found to be in the range of 12.75%~24.68%.
    3.When the funds are hedged one week prior to the extraordinary event of 319, 25 of 74 funds have lower risk and higher return than the TAIEX. Pair T test is performed resulting in a finding being statistically significant at 5% level. The degree of risk decrease is found to be in the range of 33.41%~80.02%.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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