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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/89124
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/89124


    Title: 債券期貨規避利率風險之研究 : 中長期公債實證
    Authors: 羅際禎
    LUO, JI-ZHEN
    Contributors: 林烱垚
    羅際禎
    LUO, JI-ZHEN
    Date: 1992
    1991
    Issue Date: 2016-05-02 15:12:54 (UTC+8)
    Abstract: 為健全證券市場的發展擴大證券市場規模,促進證券金融並配合自由化、國際化目標,我國證券主管機關正研擬開放投資人使用期貨及選擇權等避險工具。而財政部證管會於八十年八月提出了修法改革計畫,研擬開放國內債券利率期貨買賣,藉以徹底杜絕非法的地下金融活動。國內銀行從事國外債券期貨交易的交易員指出,由於「期貨」具有以一搏十的槓桿乘數效果,而債券期貨市場的建立,投資人僅需以保證金方式進場操作,並可用時選擇買進或放空兩方向操作,市場靈活性將使投資人更有獲利機會。此外,期貨市場可使現貨市場投資人在利率看漲時,有拋空部位,降低投資風險,可望增強投資人對現貨市場的投資意願,對市場安定作用極大。
    Reference: 一、中文部份
    1.李茂興,「認識期貨及選擇權──避險交易新工具的實例」,台北市銀月刊,第21卷,第4期,民國79 年4 月,頁74-89。
    2.李儀坤,「債券期貨交易」,台北市銀月刊,第18 卷,第11 期,民國77 年11 月,頁23-45。
    3.周文賢,「教育部學術研究資訊服務套裝程式研討會SAS/ETS 講義」,教育部電子計算機中心,民國七十八年二月。
    4.林筠,「投資組合保險之策略與績效」,台北市銀月刊,第22卷,第5 期,民國80 年5月,頁2-10。
    5.林英忠,「金融期貨市場及其計險操作」,台灣經濟金融月刊,第26 卷,第12 期,民國79 年12 月,頁18-30。
    6.林玩香,「SAS使用手冊-高等統計篇」,儒林圖書有限公司,民國77 年4 月初版。
    7. 金融人員研究訓練中心,「美國公債期貨市場」,金融研訓叢書之之四十八,民國80 年11 月初版。
    8. 倪安順,「SAS基礎與統計應用手冊」,儒林圖書有限公司,民國76年6月。
    9. 喬繼昌,「日本證券期貨文易、金融期貨及有價證券期貨交易概述」 證交資料,民國80 年11 月,頁1-7 。
    10. 簡錦川「實戰外匯及債券操作」,書泉出版社,民國79年3月三版。
    11.顏月珠,「商用統計學」,三民書局,民國75 年
    12.顏月珠,「實用統計方法-圖解實例」,民國76 年10 月。

    二、英文部份
    1. Adler ,M., and Detemple ,J., "Hedging with Futrues in an Intertemporal Portfolio Context" , Journal of Futures Markets , No.8 , 1988 ,pp.249-269。
    2. Anderson, R.W. , and Danthine,J.P., "Cross Hedging" , Journal of Political Economy, Vo1. 89, No.6 , 1981 ,pp.1182-1196.
    3. Avraham Kamara and Andrew F. Siegel, "Optimal Hedging in Futures Markets Multiple Delivery Specifications", The Journal of Finance, Vo1.52, No .4 September 1987, pp.1007-1021。
    4. Bll, David E., and Krasker, William B., "Estimating Hedge Ratio ," Financial Management, Summet, 1986, pp.1007-1021.
    5. Bemminga,S. Eldor , R., and Zilcha, I. "The Optimal Hedge Ratio in Unbiased Futures Markets", Joural of Futures Markets, Vo1.4, No.2, April 1984, pp.155-159.
    6. Bollerslev ,T., "Generalized Autoregressive Conditional Heteroscedasticity ", Journal of Economics31 , 1986, pp.307-327 .
    7. Bond, Gory E. , Thompson, Stanley R. and Lee, Beeny M.S.,”Application of a Simplified Hedging Rule" , Journal of Futures Markets , Vo 1.7, No.1 ,1987, Pp.65-72 。
    8. Castelino , Mark. "Basis Volatility Implications for Hedging " Journal of Financial Research , Vo1. 12, No.2, Summer 1989 , pp.157-172.
    9. Cecchtti, S.G. , Gumby,R.E., and Figlewski,s. , "Estimation of the Optimal Futures Hedge" , Review of Economics and Statistics 70 ,1988, pp.623-630 .
    10. Charles J.Franckle, "The Hedging Performance of the New Futures Markets: Comment", The Journal of Finance , Vol.35 , No.5 , December 1980, pp.1273-1279.
    11. Charles T.Howard and Louis J.D`Antonio , "A Risk-Return Measure of Hedging Effectiveness" , Journal of Finanial and Quantitative Analysis, Vo 1.19, No.1 , March 1984, pp.101- 112
    12. Christopher K.Ma, William H. Dare and Darla R. Donaldson , "Testing Rationality in Futures Markets" , The Journal of Futures Markets, Vo1.10, No.2,1990, p.137-152.
    13. David R. Goldfarb, "Hedging Interest Rate Risk in Banking " The Journal of Futures Markets, Vo 1.7, No .4, 1987, pp .35-47。
    14. Ederington, Louis H., "The Hedging Performance of the New Futures Markets " Journal of Finance, Vo1.34, No.1, March 1979 ,pp.157-170。
    15. Elam ,E., "Hedging Risk Using Price Change and Price Lecel Regression",Journal of Economics 12, 1986, pp.132-135.
    16. Emmett Elam , "Reduction in Hedging Risk from Adjusting for Autocorrelation in the Residuals of a Price Level Regression", The Journal of Futures Markets, Vo1.11,No.3, 1991, pp.371-384。
    17. French, K.R. , "Detecting Spot Price Forecasts in Futures Prices" , Journal of Business 59 , April 1986, pp.39-54。
    18. Gay, Gerald, Kolb , Robert and Chiang Raymond, "Interest Rate Hedging: An Empirical Test of Alternative Strategies " Journal of Financial Research , Spring 1986, PP.25-39。
    19. George M. Mecabe and Donald P. Solberg , "Hedging in the Treasury Bill Futures Market When the Hedged Instrument and the Deliverable Instrument are not Matched" , The Journal of Futures Markets, Vo 1.9 , No.6 , 1989 , pp . 529-537 。
    20. Hein , Scott E., Ma, Christopher K. and Mac Donald , S. Scott , "Testing Unbiasedness in Futures Markets: A Clarification", Journal of Futures Markets , Vo 1. 10, No.5 , 1990, pp.555-562
    21. Herbst, A. , Karc,D., and Caples, S., "Hedging Effectiveness and Minimun Risk Hedging Ratios in the Presence of Autocorrelation " Journal of Futures Markets, Vo 1.9 , No.3. 1989 , pp.185-197。
    22. Hill, Joanne, Liro , Joseph and Schneeweis, Thomas, "Hedging Performance of GNMA Futures Under Risking and Falling Interest Rates" , Journal of Futures Markers, Vo1.3, No .4, 1983 , pp .403-413。
    23. Jack S.K. Chang , Hsing Fang , "An Intertemporal Measure of Hedging Effectiveness", Journal of Futures Markets , Vo 1.10, No.3 , 1990, pp.307-321 。
    24. Jack S.K. Chang , Jean C.H. Loo and Carplyn C.Wu Charg, "The Pricing of Futures Contracts and The Arbitrage Pricing Theory" ,The Journal of Financial Research, Vo 1.13, No.4, Winter 1990, pp.297-305。
    25. John Heaney, Geoffrey Poitras, "Estimation of the Optimal Hedge Ratio , Expected Utility, and Ordinary Least Squares Regression" , Journal of Futures Markets, Vo1.11, No.5 , 1991 , pp.603-612.
    26. Khoury, Nabil T. and Martel, Jean - Marc , "Optimal Futures Hedging in the Presence of Asymmetric Information", Journal of Futures Markets , Vo1.5, No .4, 1985, pp.595-605.
    27. Lasser,D.J., "A Measure of Ex Ante Hedging Effectiveness for the Treasury Bill and Treasury Bond Futures Markets" , Review of Futures Markets 2, 1987, pp.279-295。
    28. MacDonald, S.S., Peterson, R.L. and Koch, T.W., "Using Futures to Improve Treasury Bill Portfolio Performance " , Journal of Futures Markets, Vo 1.8, No.2, 1988, pp.167-184。
    29. Marcelle Arak, Laurie S. Goodman, "Trasury Bond Futures: Valuing the Delivery Options " Jouranl of Futures Markets, Vo 1.7, No.3 , 1987, pp.269-286。
    30. Mark G. Castelino, “Minimum - Variance Hedging with Futures revisited" , Jouranl of Portfolio Management, Spring 1990, pp.74-80。
    31. Miles Livingston, "The Effect of Coupon Level on Treasury Bond Futures Delivery " Jourual of Futures Markets , Vo 1.7, N 0.3 , 1987,pp.303-309 .
    32. Nelson, Ray D. and Collins, Robert A, "A Measure of Hedging `s Performance " Journal of Futures Markets , Vo 1.5, N 0.1 , 1985, pp.45-55.
    33. Peter W. Bacon and Richard E. Williams, "Interest Rate Futures: New Tool for the Financial Manager" , Financial Management , Spring 1976, pp.32-38。
    34. Rene M.Stulz, "Optimal Hedge Policy " Journal of Financial and Quantitative Analysis , June 1984, pp.127-140.
    35. Robert W. Kolb and Raymond Chiang , "Improving Hedging Performance Using Interest Rate Futures" , 1981。
    36. Rober J. Myers, "Estimating Time-Varying Optimal Hedge Ratios on Futures markets " Journal of Futures Markets , Vo 1. 11 , No .1 , 1991 , pp.39-53。
    37. S. Scott MacDonald, Scott E. Hein, "Futures Rates and Forward Rates as Predictors of Near-Term Treasury Bill Rate ", Journal of Futures Markets, Vo 1.9, No.3 , 1989, pp.249-262。
    38. Shantaram P. Hedge , "The Forcast Performance of Treasury Bond Contracts" , Paper for College of Business Administration , University of Notre Dame, Indiana, 1986, pp.291-304。
    39. Wardrep, Bruce N. and Buck, James F., "The Efficiency Hedging with Financial Futures: A Historial Perspective" , Journal of Futures Markets, Vo 1.2, No.3 , 1982, pp.243-254 。
    Description: 碩士
    國立政治大學
    企業管理學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004465
    Data Type: thesis
    Appears in Collections:[企業管理學系] 學位論文

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