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    Title: 期貨最適避險比率之實證研究-時間數列分析
    The optimal hedge ratio in future market - time series analysis
    Authors: 王秀菁
    Ching, Wang.Shiu
    Contributors: 謝淑貞
    Shieh,Shwu Jane
    王秀菁
    Wang.Shiu Ching
    Keywords: 最適避險比率
    時間數列分析
    轉換函數模型
    optimal hedge ratio
    time series model
    transfer function model
    Date: 1994
    1993
    Issue Date: 2016-04-29 15:18:03 (UTC+8)
    Abstract: 在充滿不確定性之交易市場中,每位交易者會盡量利用所擁有之資訊,在
    市場有干擾(如,風險性資產供給之不確定性、個人偏好不同、個人面對
    之稅負環境不同等)之情形下,市場會顯露出部份私人訊息,故交易者亦
    會經由對價格和交易量之觀察習得訊息;擁有私人訊息之交易者稱為消息
    靈通者(Informed),未擁有私人訊息而只能經由觀察價格而習(learn )得
    訊息之交易者稱為消息不靈通者(Uninformed),他們二者之差異在於他們
    是否願花成本或資源以購買訊息。本文係在干擾理性預期模型下,利用所
    設定之特殊效用函數--絕對風險規避效用函數及假設隨機變數為多元常態
    分配,探討市場有干擾情形下,在第一期有私人訊息而在第二期有公開訊
    息揭露之不對稱訊息模型中價格之資訊性,分別分析了公告訊息和私人訊
    息之干擾程度、風險性資產供給之不確定及購買訊息人數對二期價格資訊
    性之影響。在所設定的模型有解下,本文利用這些影響因素對公告訊息和
    私人訊息在總合需求計劃部位 (Position)的彈性說明二期價格資訊性。
    同時文中亦探討購買訊息人數之內生決定,顯示了公告訊息之揭露會修正
    交易者之看法而減少私人蒐集訊息之誘因。
    Reference: 一.中文部份:
    1.岑蕙娟(1989),「匯率風險管理──期貨契約最適交叉避險之研究」,未出版之碩士論文。
    2.林筠‧李春華(1993),「最適避險比率估計方法之研究」,證券市場發展季刊,第19期。
    3.臧大年(1993),「避險理論與策略」
    ,期貨交易理論與實務,財團法人中華民國證券暨期貨市場發展基金會。
    4.盧飛山(1990),「金融期貨市場之角色與背景」,臺北市銀月刊,第21卷第4期。
    5.蔡春泉(1991),「新台幣匯率風險管理外匯期貨契約與遠期外匯契約交叉避險之比較研究」,未出版之碩士論文。
    6.鄭適勳(1990),「期貨市場特性與避險策略之研究──國際金融期貨之實證分析」,未出版之碩士論文。

    1. Anderson, R.W. And J.P.Danthine(1981), “Cross Hedging,” Journal of political Economy, 89, 1182-1196.

    2. Anderson, R.W. and J.P.Danthine(1982), “The Time Pattern of Hedging and the Volatility of Futures Prices,” Review of Economic Studies, 50, 249-265.

    3. Andrew Harvey(1990), The Econometric Analysis of Time Series, BPCC Wheaton Ltd,Exeter.

    4. Brown, S.L.1985) “A Reformulation of the Portfolio Model of Hedging, “American Journal of Agricultural Economics, 67, 508-512.

    5. Cecchetti, S.G., Cumby, R.E., and Figlewski, S.(1988), “Estimation of the Optimal Futures Hedge,” Review of Economics and Statistics, 70, 623-670.

    6. Chang, J.S.K. and L. Shanker(1987), “A Risk-return Measure of Hedging Effectiveness : A Comment,” Journal of Financial and Quantitative Analysis, 22, 373-376.

    7. Copeland, T.E. and Weston, J.F. (1988), Financial Theory and Corporate Policy , Addison-Wesley Publishing Company, Inc.

    8. Dale, C.(1981),”The Hedging Effectiveness of Currency Futures Markets, “Journal of Futures Markets ,1 , 77-88.

    9. Ederington, L.H.(1979), “The Hedging Performance of the New Furtures Markets,” Journal of Finance, 36, 157-170.

    10. Figlewski, S.(1984),”Hedging Performance and Basis Risk in Stock Index Futures,” Journal of Finance, July, 657-669.

    11. Figlewski, S.(1985),”Hedging with Stock Index Futures: Theory and Application in a New Market,” Journal of Futures Market, 5, 183-191.

    12. Frankle,C.T.(1980), “The Hedging Performance of the New Futures Markets: Comment , “ Journal of Finance, 35, 1273-1279.

    13. Hammer, J.A.(1988), “Hedging and Risk Aversion in the Foreign Currency Markets,”Journal of Futures Markets, 8, 657-686.

    14. Hammer, J.A. (1990), “Hedging Performance and Hedging Objectiveness: Test of New Performance Measures in the Foreign Currency Markets, “ Journal of Financial Research, 8, 307-323.

    15. Herbst, A.F.Kare, D.D., and Caples S.C.(1989), “Hedging Effectiveness and Minimum Risk Hedge Ratios in the Presence of Autocorrelation: Foreign Currency Futures, “ Journal of Futures Markets, 9, 185-197.

    16. Hill , J. and Scheeweis T. (1981), “A Note on the Hedging Effectiveness of Foreign Currency Futures,” Journal of Futures Markets, 4, 659-664.

    17. Hill , J. and Scheeweis T. (1982), “The Hedging Effectiveness of Foreign Currency Futures, “ Journal of Financial Research, 1, 95-104.

    18. Howard, C.T. and L.J. D’Antonio(1984), “A Risk-Return Measure of Hedging Effectiveness,” Journal of Financial and Quantitative Analysis, 19, 101-112

    19. Howard, C.T. and L.J. D’Antonio(1986), “Treasury Bill Futures as a Hedging Tool: A Risk-Return Approach,” Journal of Finacial Research, 9, 25-39.

    20. Howard , C.T. and L.J. D’Antonio(1987), “A Risk-Return Measure of Hedging Effectiveness : A Reply, “ Journal of Financial and Quantitative analysis, 22, 337-381.

    21. Judge, G.C. Hill, R.C. Griffiths, W. Lutkepohl, H. and Lee, T.C.(1988), Introduction to the Theory and Practice of Econometrics, John Wiley & Sons, Inc.

    22. Myers, R.J.(1991), “Estimating Time-Varying Optimal Hedge Ratios on Futures Markets,” Journal of Futures Markets, 11, 39-53.

    23. Solnik, Bruno(1988), International Investment, Addison-Wesley Publishing co., Massachusetts.

    24. Witt,Harvey J., Ted C. Schroeder, and Marvin L. Hayenga.(1987), “Comparision of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities,” Journal of Futures Markets, 22, 135-146.

    25. Working, H.(1953),”Futures Trading and Hedging,” American Economic Review, 43, 314-343.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    81351030
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002003795
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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