波動性擇時的經濟價值

Abstract

論文摘要

由於電子及金融類股在現貨市場中，不論市值或成交值比重均約佔整體市場75%。考慮實際交易情形，本文以台灣期貨交易所發行之電子及金融期貨為研究標的，以平均數變異數法為分析架構，藉由靜態與動態的投資策略來評估波動性擇時的價值。在波動性極小化下達到標的資產期望報酬，來估計出配適於各資產之權重值。

以DCC_GARCH及DCC_CARR模型來估計條件共變異數，進而計算出資產權重值，此為動態投資策略。以費用 衡量動態與靜態投資策略之平均效用達到相同時，投資人所願意支付的代價。不論是否考慮交易成本及投資人風險偏好，結果支持動態投資策略確實優於靜態投資策略；而且DCC_CARR模型仍具有較高的波動性擇時價值。此外，藉由Sharp ratio或平均效用值的比較，仍然能得到一致的結論。

ABSTRACT The main purpose of this study is to evaluate the economic value of volatility timing by comparing the performance of unconditional and dynamic portfolio strategies. Considered the real trade rules and the average market value and traded-value of the electronic and financial sector are more than 75% in the stock market, this paper uses Taiwan Stock Exchange Electronic Sector Index (TE) and Taiwan Stock Exchange Finance Sector Index (TF) for underlying assets. Following Fleming et al. (2001), we use mean-variance analysis and quadratic utility for main structure to assess the value of volatility timing. To implement the volatility timing strategies, we need to form one-step-ahead estimates of the conditional covariance matrix, followed DCC_GARCH and DCC_CARR. Our empirical results support that the volatility timing strategies outperform the static portfolios that have the same target expected return. This finding is robust to transaction costs and consistent with Sharp ratio.