國際指數期貨市場避險與避險比率之研究

Abstract

在金融市場上，期貨商品一直是投資人重要的避險工具，利用期貨進行避險時，最重要的研究議題就是避險比率的決定。本論文分別利用最小變異數法、平均數-變異數法、風險報酬抵換法、平均擴展吉尼係數法，以及動態GARCH模型來探討包括台灣加權股價指數期貨、美國芝加哥商業交易所S&P500指數期貨，日本大版證券交易所Nikkei225指數期貨、香港期貨交易所恆生指數期貨、韓國證券交易所Kospi200指數期貨以及新加坡交易所海峽時報指數期貨在直接避險上的避險效果。除了日報酬率以外，並對單週、雙週…至八週報酬率作不同避險期間的比較，實證結果發現： 1. 避險比率的比較上，S&P500指數期貨和Kospi200指數期貨以Sharpe避險比率為最大，日經指數期貨、恆生指數期貨與新加坡海峽時報指數期貨則以平均數-變異數避險比率最大，而台灣股價加權指數以平均擴展吉尼係數避險比率最大。市場的比較上，S&P500指數期貨在各種避險模型下所得到的避險比率皆高於其他指數期貨的避險比率，Nikkei225指數期貨次之。 2. 避險效率的比較上，S&P500指數期貨在各種靜態模型下皆具有最高的避險效率，而台灣加權指數期貨則為避險效率最差的市場。 3. 動態模型與靜態模型的比較上，除了S&P500指數與Nikkei225指數沒有明顯的差異，雙變數GARCH模型的避險效率略高於傳統OLS模型，可能由於美國市場相較於亞洲市場而言較完整健全，市場較具效率，因此採取動態避險策略並沒有比靜態避險策略增加避險的效率。 4. 以OLS估計，S&P500指數期貨以一週為避險期間的避險效率最佳，恆生指數和新加坡海峽時報指數以兩週為避險期間最佳，台灣股價加權指數和日經指數以三週為避險期間最佳，漢城Kospi200指數以七週為避險期間得到最佳避險效率。若以新迴歸方法同步估計短期與長期避險比率時，當避險期間超過三週以上就有0.99左右的避險效率。 5. 實證結果發現並沒有一個絕對的方法可以使得避險效率達成最佳狀態，因此投資人在進行不同期貨商品的避險交易時，應選擇較佳的方法求算其避險比率，其避險效率才會提高。

Futures contracts have been the most important hedging instruments in financial markets. Deciding hedge ratios is the primary issue in hedging with futures contracts. In this thesis, we used minimum variance approach, mean-variance approach, sharpe measure approach, mean extended Gini-coefficient approach, and GARCH model respectively to estimate the optimal hedge ratios and hedging effectiveness for different index futures markets including S&P500 index futures, Nikkei225 index futures, Hand Seng index futures, Strait Times index futures, Kospi200 index futures, and TAIEX futures. Besides using daily returns, we compared different hedging horizon with various data frequency. The empirical work resulted: 1. S&P500 hedge ratio estimates in all models were higher than those of any other market, and Nikkei225 came second. 2. S&P500 hedge effectiveness were the highest in all static models, and TAIEX has the worst. 3. In comparison with the static model and the dynamic model, hedging effectiveness of bivariate GARCH model was slightly higher than that of the OLS model except for S&P500 and Nikkei225. 4. In OLS estimation, S&P500 has the highest hedging effectiveness taking 1week hedging horizon. Heng Seng and Straits Times have the highest hedging effectiveness taking 2 weeks hedging horizon. TAIEX and Nikkei225 has the highest taking 3 weeks hedging horizon. For Kospi200, the most effective hedging occurs when taking 7 weeks hedging horizon. In new regression model, we estimate short- and long-run hedge ratios, and find that hedging effectiveness would be 0.99 when taking 3 weeks or longer hedging horizon. 5. There are no particular approach could estimate the optimal hedge ratio. Hedger must choose appropriate model for different futures markets to estimate the optimal hedge ratio and raise the hedging effectiveness.