臺美股市與期貨避險比例之分析 Vu, Thi Hoa Mi、陳美玲
E-mail: [email protected]
摘 要
股票與期貨市場的遽變及能夠吸引投資者在此市場中找尋投資組合績效。本研究著眼股票和期貨場的落後關係、相關性與 避險比率，另外，本研究顯示期貨會比股票市場有較高的波動性且期貨市場會影響股票市場，本研究也與Kim (2003)的研 究相符。王凱立，陳美玲 (2006)指出期貨市場可以比股票市場反應的來得快且也可以支撐期貨市場來穩定股票市場，因此
，本研究可以提供投資者良好的管理風險建議。 在本研究中，為了研究股票和期貨市場在不同階段改善避險比率在降低風 險的重要角色，本研究採研究多期避險。 本研究發現美國利用避險比率比台灣市場較有效率，此結果發現對於低度開發市 場相當有幫助，也指出在短期內投資者會有較低的避險比率而投資者可以在長期達成高的避險率，因此檢驗多期避險率可 以比單一期避險率提供較多仔細的資訊。
關鍵詞 : 避險效率;期貨市場;股票市場;基波理論
目錄
Table of Contents Chinese abstract ．．．．．．．．．．．．．．．．．．． iii English abstract ．．．．．．．．．．．
．．．．．．．． iv Acknowledgment．．．．．．．．．．．．．．．．．．． v Table of Contents．．．．．．．．．
．．．．．．．．．． vi List of Figures ．．．．．．．．．．．．．．．．．．．． viii List of Tables ．．．．．．．．
．．．．．．．．．．．． x Chapter 1 Introduction．．．．．．．．．．．．．．．．． 1 1.1 Background and
motivations．．．．．．．．．．． 1 1.2 Objectives ．．．．．．．．．．．．．．．．．． 5 1.3 Chapter Outline ．．．
．．．．．．．．．．．．． 6 Chapter 2 Literature review．．．．．．．．．．．．．．． 7 2.1 Single period hedging versus Multi period hedging． ． 7 2.2 Hedge ratio．．．．．．．．．．．．．．．．．． 8 2.3 The causality of stock and futures market．．．．．． 9 2.4 The previous methodology versus Wavelet analysis．． 10 Chapter 3 Data and Methodology．
．．．．．．．．．．． 13 3.1 Data description．．．．．．．．．．．．．．．． 13 3.2 Unit root test．．．．．．．．
．．．．．．．．． 13 3.3 Granger Causality Test．．．．．．．．．．．．． 17 3.4 Wavelet analysis．．．．．．．．．
．． ．．．． 19 Chapter 4 Empirical Results．．．．．．．．．．．．．． 26 4.1 The data description and the basic statistics．．．．． 26 4.2 The result of the unit root test ．．．．．．．．．． 29 4.3 The result of the Granger causality test．
．．．．．． 30 4.4 The result of the Wavelet analysis．．．．．．．．． 33 vi vii Chapter 5 Conclustions．．．．．．．．
．．．．．．．． 51 5.1 Conclusions ．．．．．．．．．．．．．．．．． 51 5.2 Suggestions ．．．．．．．．．．．．
．．．．． 52 References ．．．．．．．．．．．．．．．．．．．．． 54 viii List of Figures Figure 1- 1 Chapter outline．
．．．．．．．．．．．．．． 6 Figure 4- 1 TW stock returns．．．．．．．．．．．．． 27 Figure 4- 2 TW futures returns．．．．．．．．．．．．． 27 Figure 4- 3 US stock returns．．．．．．．．．．．．．． 27 Figure 4- 4 US futures returns．．．．．．．．．．．．． 27 Figure 4- 5 Wavelet coefficient of TW returns at different scales． 35 Figure 4- 6 Wavelet coefficient of US returns at different scales． 36 Figure 4- 7 TW stock and futures returns variance at different scales．．．．．．
．．．．．．．．．．．．． 38 Figure 4- 8 US stock and futures returns variance at different scales．．．．．．．．．．．
．．．．．．． 39 Figure 4- 9 TW stock and futures returns covariance at different scales．．．．．．．．．．．．．．．．
．． 42 Figure 4-10 US stock and futures returns covariance at different scales．．．．．．．．．．．．．．．．．． 42 Figure 4-11 TW stock and futures returns correlation at different scales．．．．．．．．．．．．．．．．．． 44 Figure 4-12 US stock and futures returns correlation at different scales．．．．．．．．．．．．．．．．．． 45 Figure 4-13 TW stock and futures returns hedge ratio at different scales．．．．．．．．．．．．．．．．．． 48 Figure 4-14 US stock and futures returns hedge ratio at different scales．．．．．．．．．．．．．．．．．． 48 Figure 4-15 Hedge ratio between TW stock and US futures returns ix at different scale．．．．．．．．．．．．．．． 49 x List of Tables Table 4-1 Descriptive Statistics
．．．．．．．．．．．．．．． 28 Table 4-2 The results of the Unit root test．．．．．．．．．．． 30 Table 4-3 The result of the Granger causality test．．．．．．．． 32 Table 4-4 The result of the Wavelet variance at different scales．．． 37 Table 4-5 The result of the Wavelet covariance at different scales ．． 41 Table 4-6 The result of the Wavelet correlation at different scales ．． 43 Table 4-7 The result of the Wavelet hedge ratio at different scales ．． 47
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