政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/94666

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/94666

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/94666

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题名:	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
贡献者:	郭維裕 Kuo, Wei Yu 黃信凱 Huang, Hsin Kai
关键词:	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
上传时间:	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. Bollerslev, T., & Chou, R. Y., & Kroner, K. F. (1992): “ARCH modeling in finance: A review of the theory and empirical evidence.” Journal of Econometrics, 52: 5-59. 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 Donald Lien, (2008): “Optimal futures heading: Quadratic versus exponential utility functions.” Journal of Futures Markets Volume28, Issue2, Date: February 2008, Pages: 208-211 Ederington, Louis H., (1979): "The Hedging Performance of the New Futures Markets." Journal of Finance, 157-170. Engle, Robert F., (1982): "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica 50 (July 1982), 987-1008. Guermat, C., & Harris, R. D. F. (2002): “Robust conditional variance estimation and value at risk.” Journal of Risk, 4, 25-41. Harvey J Witt, Ted C Schroeder and Marvin L Hayenga (1987): “Comparison of Analytical Approaches for Estimating Hedge Ratios for Agricultural commodities.” The Journal of Futures Markets (1986-1998), Apr 1987, 7, 2, ABI/INFORM Global pg. 135 22 H. Working. (1953): “Futures Trading and Hedging.” The American Economic Review, Vol. 43, No. 3 (Jun., 1953), pp. 314-343 John C. Hull “Options, Futures and Other Derivatives.” 5th edition Prentice Hall, Upper Saddle River, New Jersey 07458 Johnson, L. L. (1960): “The theory of hedging and speculation in commodity futures.” Rev. Econ. Stud. 27 (1960): 139-51 Myers, R. J., & Thompson, S. R. (1989): “Generalized optimal hedge ratio estimation.” American Journal of Agriculture Economics, 71, 858-868. Myers, R. J., (1991): “Estimating Time-Varying Optimal Hedge Ratios on Futures Markets.” The Journal of Futures Markets, Feb 1991; 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 Richard D. F. Harris & Jian Shen. (2003): ”Robust estimation of the optimal hedge ratio.” The Journal of Futures Markets, Vol.23, No. 8, 799-816 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
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

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