外匯期貨最適避險比率與避險效益分析

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Title:	外匯期貨最適避險比率與避險效益分析
Other Titles:	Analysis of the optimal hedge ratios and the hedging effectiveness of foreign currency futures
Authors:	劉肖君;Liu, Hsiao-Chun
Contributors:	淡江大學財務金融學系碩士在職專班邱忠榮;林允永;Chiou, Jong-rong;Lin, Yun-yung
Keywords:	外匯期貨避險;LPM;VAR;最小變異避險比率;Foreign Currency Futures;LPM;VaR;Minimum Variance Hedge Ratio
Date:	2011
Issue Date:	2011-06-16 21:52:29 (UTC+8)
Abstract:	美國次級房貸風暴引發了2008年全球金融大海嘯，突顯了全球金融市場無國界的發展，以及衍生性金融商品所帶來複雜多變的金融環境，匯率避險成了企業經營和投資機構的重要課題。金融資產的風險衡量，過去傳統文獻上多以變異數作為風險衡量指標，但是其方法所衡量的風險，包含上方報酬與下方損失，無法區分資產價值變動的方向性。本研究嘗試在最小變異數（M-V）策略外，加入具下方損失風險概念的低階部分動差（LPM）和風險值（VaR），比較三種避險策略的最適避險比率並衡量其避險效果。本文研究選取2000年7月1日至2010年6月30日資料，針對歐元、日圓、英鎊、澳幣四種外幣兌美元進行外匯期貨避險研究分析，實證結果顯示，靜態避險時，外匯期貨避險以VaR策略避險效果最佳，其次是LPM，最後是M-V。當進行動態避險時，實證結果發現，雖然各外匯避險投資組合均呈現正報酬，惟沒有一個絕對的方法可以使外匯避險效率達到最佳，因此投資人在進行不同的外匯避險交易時，應選擇較佳的方法求算避險比率來提高避險效益。舉例來說，歐元兌美元和澳幣兌美元以LPM避險績效為最佳。英鎊兌美元則採取VaR避險策略為最優，日圓兌美元則以M-V避險績效為最佳。另外，估計期間設定為39週時，較能抓住變動趨勢獲取較佳之避險績效。就以單位風險報酬來看，避險期間則以兩週的避險效果較一週的避險效果為佳。 US subprime mortgage crisis led to a global financial crisis in 2008. This highlighted that global financial market developed borderless and derivatives resulted in complicated financial environment. Foreign currency hedging has become a main issue for business and investment organizations. Variance was mostly used as a risk measure for financial assets in the past literatures. However, it is hard to distinguish the direction of changes in assets value for comprising upside and downside risk. In this essay, Minimum Variance Hedge Ratio (M-V) is compared with Lower Partial Moment (LPM) and Value at Risk (VaR), which are with the concept of downside risk, to find the optimal hedge ratios and hedging effectiveness. The data used in this essay is foreign currency futures of European Dollar (EUR), Japanese Yen (JPY), British Pound (GBP) and Australian Dollar (AUD) to US Dollar (USD). The empirical results show that the hedging effectiveness of foreign currency futures is VaR following LPM and M-V in static hedging strategy. On the other hand, the best strategy does not exist in dynamic hedging strategy. Investors should choose different strategies for different foreign currencies. For example, LPM is a better hedging strategy for EUR and AUD; GBP adopts VaR, and better hedging effectiveness for JPY is M-V. Moreover, the estimation period of 39 weeks obtains better hedging effectiveness and two-week hedging period is better than one-week.
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