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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/86437

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86437

Title:	以SIMEX摩根台股指數期貨規避台灣股價指數風險之研究 Hedging Taiwan`s stock indices with SIMEX MSCI Taiwan index futures
Authors:	溫曜誌 Wen, Yao-Chih
Contributors:	顏錫銘 Yen, S. H. 溫曜誌 Wen, Yao-Chih
Keywords:	指數期貨避險單根檢定共整合檢定定態誤差修正模型 Index futures Hedging Unit root test Cointegration test Stationary Error correction model
Date:	1997
Issue Date:	2016-04-27 11:21:45 (UTC+8)
Abstract:	本研究分別利用傳統 OLS、誤差修正模型以及 Bivariate GARCH 模型研究以摩根台股指數期貨規避台灣股價指數的避險效果，現貨部分除了摩根台股指數現貨之外，亦考慮了台灣加權股價指數，目的在於瞭解摩根指數期貨的避險效果，並提出未來台灣加權股價指數上市後一套研究指數期約避險績效的研究架構。 Investors of Taiwan Stock Market have been long lack of hedging tools. SIMEX has provided a new merchant, MSCI Taiwan Index Future on January 9,1997. In addition, Taiwan Futures Exchange is going to run on July, 1998. Though investors are still not familiar with the new derivatives. Futures will be the new markets in Taiwan and it is the right time for us to analyze it. This research use different econometrics methods to check if it is a good hedge tool for the investors. The results are as followed.
Description:	碩士國立政治大學財務管理研究所 85357004
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002001890
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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