避險績效的決定因素

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Title:	避險績效的決定因素
Other Titles:	Determinants of hedging performance
Authors:	楊恭勇;Yang, Kung-Yung
Contributors:	淡江大學財務金融學系碩士在職專班邱建良
Keywords:	避險績效;恐慌指數;Hedging performance;VIX
Date:	2012
Issue Date:	2013-04-13 10:51:22 (UTC+8)
Abstract:	本文以國內之股價指數與指數期貨為主要研究對象，研究期間取自2007年1月1日開始至2011年12月31日，計有1244筆日資料觀察值及255筆週資料觀察值。利用DCC-GARCH模型估計出日避險比率後，運用日內資料評估以變異數及風險值為基礎的週避險績效後，試圖以基差、未平倉量、VIX、波動率、不同交易人交易情況等因素分析對週避險績之影響，找出那些對期貨避險有著較重要的影響因素，以利交易人能利用重要因素快速的找到投資決策。實證結果發現現貨成交量、期貨成交量、現貨波動率對避險績效有顯著為正的影響；另在期貨波動率亦是顯著，但其相關性卻是負的。在不同類別交易人等因素發現，以變異數衡量避險績效時，個別交易人淨變動量、外資淨變動量、外資淨買超3000口以上、恐慌指數都是顯著的；以風險值衡量避險績效時，外資淨買超3000口以上、外資淨賣超3000口以上及恐慌指數變動率都是顯著的。 This thesis mainly focuses on the study of domestic stock index and stock index future selected from 1st January 2007 to 31st December 2011, containing 1244 accounts of daily information and 255 accounts of weekly information. After figuring out a rough daily hedging rate with DCC-GARCH model and evaluating the weekly hedging performance which is based on variation factor and risk value with daily information, the thesis tries to analyze the impact of such factors as basis, open interest, VIX, volatility, and different traders and transactions, etc, to the weekly hedging performance and spot the factors of high importance to risk avoidance with futures so that traders can make a quick decision with the help of such factors Practical results find that volume of spot trading, volume of future trading and volatility of spot trading have positive impact to the hedging performance; on the other hand, the volatility of future trading also has an appreciable while negative correlation. The studying on different groups of traders finds that when measuring the hedging performance with variation value, the net value of variation of an individual trader, net value of variation of foreign investment, the net purchase of foreign investment over 3000 positions and the volatility index all have appreciable impacts; when measuring the hedging performance with risk value, the net purchase of foreign investment over 3000 positions, the net sale of foreign investment over 3000 positions and the variation rate of volatility index all have appreciable impacts.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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