| 摘要: | 由於近年來大眾對於避險產品的需求量不斷上升，對於避險的研究也逐漸增加。而先前有關台股避險之相關文獻大多僅針對避險比例或單一工具加以探討，缺乏全面性之比較。而一個成功的避險必須包含避險時機、避險工具及避險比率等三部分。本文主要應用 MA 、 MTM 及 MACD 等中長期技術指標於避險時機之選擇，避險比例部分比較了GARCH、OLS法及天真避險法，藉以改善日資料容易造成進出頻繁等問題。本研究以台灣加權股價指數視為現貨組合，並以台灣50受益憑證取代指數部分，台股指數期貨及台指選擇權作為避險工具。研究結果顯示，無論是否考慮交易成本，擇時避險的報酬率皆遠大於完全避險策略，而避險比例方面，擇時避險法在期貨時，天真避險法優於其他避險方法，擇時避險法在選擇權時，GARCH避險法優於其他避險方法，完全避險法下，不管是期貨或是選擇權，OLS避險法皆優於其他避險法。則此避險研究對於避險實務提供一個具體可行的策略。
In recent years the public demand for safe-haven commodities rising, the research for hedge gradually increased. And a successful hedge must contain the hedge timing, hedge instruments and hedge ratio of three parts. In this paper, the application of MA, MTM and MACD, hedge ratio part of the compares GARCH method, OLS method and the naive hedge method to improve access on information likely to cause frequent problems. In this study, Taiwan Weighted Price Index as a stock portfolio, and the Taiwan 50 Index to replace part of beneficiary certificates, and the TAIEX Taiwan Stock Index futures options as hedging tools. The results showed that, regardless of whether to consider transaction costs, timing hedge returns are much larger than the full hedge strategy, and the hedge ratio, timing hedging method in the futures, the naive hedge method is superior to other methods , timing right in the choice of hedging method, GARCH hedge method is superior to other methods, completely hedging method, either futures or options, OLS hedge method are superior to other methods. This hedge is to provide research for hedge a specific practical and feasible strategy. |
