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| 題名: | 穩健型最適避險比率估計-以台灣市場為例
Robust estimation of the optimal hedge ratio |
| 作者: | 黃信凱
Huang, Hsin Kai |
| 貢獻者: | 郭維裕
Kuo, Wei Yu
黃信凱
Huang, Hsin Kai |
| 關鍵詞: | 最適避險比率
指數加權移動平均
滾視窗法
optimal hedge ratio
EWMA
Rolling Window Method |
| 日期: | 2009 |
| 上傳時間: | 2016-05-09 11:26:36 (UTC+8) |
| 摘要: | Because on the method of Harris and Shen (2003), we implement the robust estimator of optimal hedge ratio in Taiwan stock market. By using the Taiwan Stock Index and Taiwan Stock Index Futures, we used the robust estimation of optimal hedge ratio. We use two estimators, the rolling window model and the exponentially weighted moving average (EWMA), to estimate the robust optimal hedge ratio. We also compare the hedging effectiveness of the robust hedge ratios and the traditional least- squared hedge ratios. We find that the volatility of the hedged portfolio using robust optimal hedge ratio is substantially lower than that of the portfolio using the traditional hedge ratios. With the less excessive volatility, the transaction cost decrease substantially, and the cost of rebalancing portfolio is lower as well.
Because on the method of Harris and Shen (2003), we implement the robust estimator of optimal hedge ratio in Taiwan stock market. By using the Taiwan Stock Index and Taiwan Stock Index Futures, we used the robust estimation of optimal hedge ratio. We use two estimators, the rolling window model and the exponentially weighted moving average (EWMA), to estimate the robust optimal hedge ratio. We also compare the hedging effectiveness of the robust hedge ratios and the traditional least- squared hedge ratios. We find that the volatility of the hedged portfolio using robust optimal hedge ratio is substantially lower than that of the portfolio using the traditional hedge ratios. With the less excessive volatility, the transaction cost decrease substantially, and the cost of rebalancing portfolio is lower as well. |
| 參考文獻: | Bollerslev, T. (1986): “Generalized autoregressive conditional heteroskedasticity.” Journal of Econometrics, 31, 307-327.
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Cecchetti, S. G., Cumby, R. E., & Figlewski, S. “Estimation of optimal futures hedge”. Review of Econometrics and Statistics, 70, 623-630.
Donald Lien, (2005): “A note on the superiority of the OLS hedge ratio.” Journal of Futures Markets Volume25, Issue11, Date: November 2005, Pages: 1121-1126
Donald Lien, (2008): “A further note on the optimality of the OLS hedge strategy.” Journal of Futures Markets Volume28, Issue3, Date: March 2008, Pages: 308-311
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Phil Holmes. “Stock index futures hedging: hedge ratio estimation, duration effects, expiration effects and hedge ratio stability.” Journal of Business Finance & Accounting, Volume 23 Issue 1, Pages 63 - 77
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Wilson H. S. Tong (1996): “An examination of dynamic hedging.” Journal of International Money and Finance, Vol. 15, No.1, pp. 19-35 |
| 描述: | 碩士
國立政治大學
國際經營與貿易學系
96351016 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0096351016 |
| 資料類型: | thesis |
| 顯示於類別: | [國際經營與貿易學系 ] 學位論文
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