臺股指數期貨與臺指現貨之多尺度避險比例之研究:小波分析的應用

Abstract

本研究主要是利用小波分析檢視股票與期貨市場的領先落後關係、相關性以及避險比例，我們從台灣期交所與證交所取得台指期貨與台指現貨各1,510筆資料，含蓋期間為2000/1/4至2005/12/30。本研究共有三個重要實證結果。第一個是股票與期貨市場之間在各個時間尺度上都存在有反饋關係。第二則是小波相關係數因不同的時間尺度而有不同，但其係數值都很高，大部分趨近於1。最後，避險比率及避險策略的有效性隨著時間尺度愈大也隨之愈大。除此之外，避險效率也因個別投資人之風險趨避程度而有所影響。

This objective of this study is to examine the relationship between the stock and futures markets in terms of lead-lag relationship, correlation, and the hedge ratio using wavelet analysis. We obtain 1,510 observations, from January 2000 to December 2005, from the Taiwan Futures Exchange (TAIFEX). The empirical result shows that: (1) there is a feedback relationship between the stock and futures markets regardless of time scales; (2) wavelet correlation between two markets varies over investment horizons but remains at high level; and (3) hedge ratio and the effectiveness of hedging strategies increase as the wavelet time scale increases. Simulation result also shows that hedging effectiveness depends not only on the time scales but also on the risk aversion coefficient of an individual investor.