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    Title: 保險業利用國外股價指數期貨避險策略可行性之研究
    The feasibility of insurance company use foreign stock index future for hedging
    Authors: 郭美美
    Kuo, Mei Mei
    Contributors: 謝劍平
    Shieh,Chang Pying
    郭美美
    Kuo,Mei Mei
    Keywords: 避險
    股價指數期貨
    保險業
    交叉避險
    hedge
    stock index future
    insurance company
    Date: 1994
    1993
    Issue Date: 2016-04-29 15:51:30 (UTC+8)
    Abstract: 壽險利用國外股價指數期貨來規避國內股票投資組合的特定市場風險,其
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    性實證研究」,臺灣銀行季刊,第四十四卷第四期,業171-179。
    2. 王牲,「股票期數期貨在股票投資組合對沖操作上之研究」,證券市場
    發展季刊,第十五期,民國81年7月,頁88-113。
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    數為例」,臺灣大學商學研究所碩士論文,民國79年6月。
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    6. 張裕達,「期貨契約最適避險策略之研究-股價期貨為例」,臺灣
    大學財務金融研究所碩士論文,民國 82 年 6 月。
    7. 財團法人中華民國證券暨期貨市場發展基金會編印, 「金融期貨」 ,
    民國 82 年 8 月。頁44-49。
    8. 財團法人中華民國證券暨期貨市場發展基金會編印「中華民國證券市
    場」,民國 82 年。頁37-38。
    9. 史綱等合著,「期貨交易理論與實務」,財團法人中華民國證券暨期貨
    市場發展基金會編印,民國82年2月。
    10. 林明勳,「利率風險管理-期貨契約交叉避險之研究」,政治大學國際
    貿易研究所碩士論文,民國82年6月。
    11. 黃達業,「外匯期貨最適避險性之再檢視」,國科會(NSL-81)研究
    計畫,發表於第二屆淡江大學財務金融學術研討會。
    12. 林筠、理椿華,「最適避險比率估計方法之研究」,證券市場發展季
    刊,第19期,民國81年7月,頁110-131。
    13. 謝建平、周昆,「亞太盆地六國股市相互整合性之測試」,國立中山
    大學管理學院財務管理系所証券金融市場理論與實務研討會論文集,民
    國81年12月12日。

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    2. Benet, Bruace A., “Hedge Period Length and Ex-Ante Futures Hedging Effectiveness:The Case of Foreign-Exchange Risk Cross Hedges,”Journal of Futures Markets, Vol.12,No.2,Apr,(1992),163-175.

    3. Brown, Stewart L., “A Reformulation of The Portfolio Model of Hedging,” American Agricultural Economics Association,(August 1985).

    4. Chau-Chen Yang, “Intraday Relationship between Taiwan and Major Asia Equity Markets”, Working paper No.9303, College of Management National Taiwan University.

    5. Ederington, Louis H.,”The Hedging Performance of The New Futures Markets, “Journal of Finance,(1979),34:157-170.

    6. Figlewski, Stephen. & Kon.Stanley J., “Portfolio Management withStock Index Rutures,”Financial Analysts Journal, January-Feburary (1982),. 52-60.

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

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    11. Hill,J.,and T.Schneeweis, “A Note on the Hedging Effectiveness of Foreign Currency Futures,” Journal of Futures Markets 1 (Winter 1981),659-663.

    12. Jonson,L.,”The Theory of Hedging and Speculation in Commodity Futures,” Review of Economic Studies 27 (june 1960),139-151.

    13. Junkus, Joan C., “Hedge Ratios in Up and Down Equity Markets”, Advance in Futures and Options Research, Vol.2,(1987). 279-289.

    14. Junkus, Joan C. & Lee,Cheng F., “Use of Three Stock Index Futures in Hedging Decisions, “The Journal of Futures Market, , Vol.5,No.2,(Summer 1985). 201-222.

    15. Lee.Cheng F., Bubnys,Edward L.&Lin,Yun, “Stock Index Futures Hedge Ratio:Tes on Horizon Effects and Functional Form,” Advance in Futures and Options Research, Vol.2, (1987). 291-311.

    16. Lindahl,Mary. “Measuring Hedging Effectiveness with R-Square:A Note,” Journal of Futures Markets, Vol.9,No.5,(1989),. 469-475.

    17. Liu,Y .ANGELA., Pan,Ming- Shiun., Chan,Kam c.&Shieh,Joseph C.P.,”International transmission of Stock Market Movement: Evidence from U.S and Five Asian-Pacific Markets, “Journal of Multinational Financial Management,(1993).

    18. Markowitz,H., “Portfolio Selection, “Journal of Finance, Vol.8,(1952),77-91

    19. Nelson, Ray D. & Collins, Robert A., “A Measure of Hedging’s Performance,”Journl of Rutures Markets 5,(1985), 45-55.

    20. Pitt, M., “Cross-Hedging, Hedge Effectiveness, and The Trade-off Between Risk and Return, “Advances in Futures and Options Research, Vol.1, Part b,(1986),29-47.

    21. Rutledge,D.J.S.,”Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Procoa Producer,” Journal of Political Economy 88 (August 1975), 410-419.

    22. Rolfo, J.,”optimal Hedging under Prince and Quantity Uncertainty: The Case of Cocoa Producer, “Journal of political Economy 88,(August 1975),410-419.

    23. Working, H., “Futures Trading and Hedging, “American Economic Review.(June 1953).
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    81358020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002003711
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

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