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題名 期貨最適避險比率之實證研究-時間數列分析
The optimal hedge ratio in future market - time series analysis
作者 王秀菁
Ching, Wang.Shiu
貢獻者 謝淑貞
Shieh,Shwu Jane
王秀菁
Wang.Shiu Ching
關鍵詞 最適避險比率
時間數列分析
轉換函數模型
optimal hedge ratio
time series model
transfer function model
日期 1994
1993
上傳時間 29-Apr-2016 15:18:03 (UTC+8)
摘要 在充滿不確定性之交易市場中，每位交易者會盡量利用所擁有之資訊，在
     市場有干擾（如，風險性資產供給之不確定性、個人偏好不同、個人面對
     之稅負環境不同等）之情形下，市場會顯露出部份私人訊息，故交易者亦
     會經由對價格和交易量之觀察習得訊息；擁有私人訊息之交易者稱為消息
     靈通者(Informed)，未擁有私人訊息而只能經由觀察價格而習(learn )得
     訊息之交易者稱為消息不靈通者(Uninformed)，他們二者之差異在於他們
     是否願花成本或資源以購買訊息。本文係在干擾理性預期模型下，利用所
     設定之特殊效用函數--絕對風險規避效用函數及假設隨機變數為多元常態
     分配，探討市場有干擾情形下，在第一期有私人訊息而在第二期有公開訊
     息揭露之不對稱訊息模型中價格之資訊性，分別分析了公告訊息和私人訊
     息之干擾程度、風險性資產供給之不確定及購買訊息人數對二期價格資訊
     性之影響。在所設定的模型有解下，本文利用這些影響因素對公告訊息和
     私人訊息在總合需求計劃部位 (Position)的彈性說明二期價格資訊性。
     同時文中亦探討購買訊息人數之內生決定，顯示了公告訊息之揭露會修正
     交易者之看法而減少私人蒐集訊息之誘因。
參考文獻 一.中文部份：
     1.岑蕙娟(1989)，「匯率風險管理──期貨契約最適交叉避險之研究」，未出版之碩士論文。
     2.林筠‧李春華(1993)，「最適避險比率估計方法之研究」，證券市場發展季刊，第19期。
     3.臧大年(1993)，「避險理論與策略」
     ，期貨交易理論與實務，財團法人中華民國證券暨期貨市場發展基金會。
     4.盧飛山(1990)，「金融期貨市場之角色與背景」，臺北市銀月刊，第21卷第4期。
     5.蔡春泉(1991)，「新台幣匯率風險管理外匯期貨契約與遠期外匯契約交叉避險之比較研究」，未出版之碩士論文。
     6.鄭適勳(1990)，「期貨市場特性與避險策略之研究──國際金融期貨之實證分析」，未出版之碩士論文。
     
     1. Anderson, R.W. And J.P.Danthine(1981), “Cross Hedging,” Journal of political Economy, 89, 1182-1196.
     
     2. Anderson, R.W. and J.P.Danthine(1982), “The Time Pattern of Hedging and the Volatility of Futures Prices,” Review of Economic Studies, 50, 249-265.
     
     3. Andrew Harvey(1990), The Econometric Analysis of Time Series, BPCC Wheaton Ltd,Exeter.
     
     4. Brown, S.L.1985) “A Reformulation of the Portfolio Model of Hedging, “American Journal of Agricultural Economics, 67, 508-512.
     
     5. Cecchetti, S.G., Cumby, R.E., and Figlewski, S.(1988), “Estimation of the Optimal Futures Hedge,” Review of Economics and Statistics, 70, 623-670.
     
     6. Chang, J.S.K. and L. Shanker(1987), “A Risk-return Measure of Hedging Effectiveness : A Comment,” Journal of Financial and Quantitative Analysis, 22, 373-376.
     
     7. Copeland, T.E. and Weston, J.F. (1988), Financial Theory and Corporate Policy , Addison-Wesley Publishing Company, Inc.
     
     8. Dale, C.(1981),”The Hedging Effectiveness of Currency Futures Markets, “Journal of Futures Markets ,1 , 77-88.
     
     9. Ederington, L.H.(1979), “The Hedging Performance of the New Furtures Markets,” Journal of Finance, 36, 157-170.
     
     10. Figlewski, S.(1984),”Hedging Performance and Basis Risk in Stock Index Futures,” Journal of Finance, July, 657-669.
     
     11. Figlewski, S.(1985),”Hedging with Stock Index Futures: Theory and Application in a New Market,” Journal of Futures Market, 5, 183-191.
     
     12. Frankle,C.T.(1980), “The Hedging Performance of the New Futures Markets: Comment , “ Journal of Finance, 35, 1273-1279.
     
     13. Hammer, J.A.(1988), “Hedging and Risk Aversion in the Foreign Currency Markets,”Journal of Futures Markets, 8, 657-686.
     
     14. Hammer, J.A. (1990), “Hedging Performance and Hedging Objectiveness: Test of New Performance Measures in the Foreign Currency Markets, “ Journal of Financial Research, 8, 307-323.
     
     15. Herbst, A.F.Kare, D.D., and Caples S.C.(1989), “Hedging Effectiveness and Minimum Risk Hedge Ratios in the Presence of Autocorrelation: Foreign Currency Futures, “ Journal of Futures Markets, 9, 185-197.
     
     16. Hill , J. and Scheeweis T. (1981), “A Note on the Hedging Effectiveness of Foreign Currency Futures,” Journal of Futures Markets, 4, 659-664.
     
     17. Hill , J. and Scheeweis T. (1982), “The Hedging Effectiveness of Foreign Currency Futures, “ Journal of Financial Research, 1, 95-104.
     
     18. Howard, C.T. and L.J. D’Antonio(1984), “A Risk-Return Measure of Hedging Effectiveness,” Journal of Financial and Quantitative Analysis, 19, 101-112
     
     19. Howard, C.T. and L.J. D’Antonio(1986), “Treasury Bill Futures as a Hedging Tool: A Risk-Return Approach,” Journal of Finacial Research, 9, 25-39.
     
     20. Howard , C.T. and L.J. D’Antonio(1987), “A Risk-Return Measure of Hedging Effectiveness : A Reply, “ Journal of Financial and Quantitative analysis, 22, 337-381.
     
     21. Judge, G.C. Hill, R.C. Griffiths, W. Lutkepohl, H. and Lee, T.C.(1988), Introduction to the Theory and Practice of Econometrics, John Wiley & Sons, Inc.
     
     22. Myers, R.J.(1991), “Estimating Time-Varying Optimal Hedge Ratios on Futures Markets,” Journal of Futures Markets, 11, 39-53.
     
     23. Solnik, Bruno(1988), International Investment, Addison-Wesley Publishing co., Massachusetts.
     
     24. Witt,Harvey J., Ted C. Schroeder, and Marvin L. Hayenga.(1987), “Comparision of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities,” Journal of Futures Markets, 22, 135-146.
     
     25. Working, H.(1953),”Futures Trading and Hedging,” American Economic Review, 43, 314-343.
描述 碩士
國立政治大學
國際經營與貿易學系
81351030
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003795
資料類型 thesis
dc.contributor.advisor 謝淑貞zh_TW
dc.contributor.advisor Shieh,Shwu Janeen_US
dc.contributor.author (Authors) 王秀菁zh_TW
dc.contributor.author (Authors) Wang.Shiu Chingen_US
dc.creator (作者) 王秀菁zh_TW
dc.creator (作者) Ching, Wang.Shiuen_US
dc.date (日期) 1994en_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 15:18:03 (UTC+8)-
dc.date.available 29-Apr-2016 15:18:03 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 15:18:03 (UTC+8)-
dc.identifier (Other Identifiers) B2002003795en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88320-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 81351030zh_TW
dc.description.abstract (摘要) 在充滿不確定性之交易市場中，每位交易者會盡量利用所擁有之資訊，在
     市場有干擾（如，風險性資產供給之不確定性、個人偏好不同、個人面對
     之稅負環境不同等）之情形下，市場會顯露出部份私人訊息，故交易者亦
     會經由對價格和交易量之觀察習得訊息；擁有私人訊息之交易者稱為消息
     靈通者(Informed)，未擁有私人訊息而只能經由觀察價格而習(learn )得
     訊息之交易者稱為消息不靈通者(Uninformed)，他們二者之差異在於他們
     是否願花成本或資源以購買訊息。本文係在干擾理性預期模型下，利用所
     設定之特殊效用函數--絕對風險規避效用函數及假設隨機變數為多元常態
     分配，探討市場有干擾情形下，在第一期有私人訊息而在第二期有公開訊
     息揭露之不對稱訊息模型中價格之資訊性，分別分析了公告訊息和私人訊
     息之干擾程度、風險性資產供給之不確定及購買訊息人數對二期價格資訊
     性之影響。在所設定的模型有解下，本文利用這些影響因素對公告訊息和
     私人訊息在總合需求計劃部位 (Position)的彈性說明二期價格資訊性。
     同時文中亦探討購買訊息人數之內生決定，顯示了公告訊息之揭露會修正
     交易者之看法而減少私人蒐集訊息之誘因。		zh_TW
dc.description.tableofcontents 結論‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１
      第一節　研究動機與目的‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１
     第二節　本文內容與架構‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４
     
     第二章　文獻回顧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧６
      第一節　避險理論介紹‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧７
      第二節　估計方法之選擇
      第三節　實證文獻回顧
     
     第三章　實證模型與實證方法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２５
      第一節　實證模型之設定‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２５
      第二節　估計避險比率所產生之問題‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２６
     
     第四章　實證分析‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３２
      第一節　實證資料‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３２
      第二節　實證結果之分析‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３３
     
     第五章　結論與建議‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４６
     
     參考文獻‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４８		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003795en_US
dc.subject (關鍵詞) 最適避險比率zh_TW
dc.subject (關鍵詞) 時間數列分析zh_TW
dc.subject (關鍵詞) 轉換函數模型zh_TW
dc.subject (關鍵詞) optimal hedge ratioen_US
dc.subject (關鍵詞) time series modelen_US
dc.subject (關鍵詞) transfer function modelen_US
dc.title (題名) 期貨最適避險比率之實證研究-時間數列分析zh_TW
dc.title (題名) The optimal hedge ratio in future market - time series analysisen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一.中文部份：
     1.岑蕙娟(1989)，「匯率風險管理──期貨契約最適交叉避險之研究」，未出版之碩士論文。
     2.林筠‧李春華(1993)，「最適避險比率估計方法之研究」，證券市場發展季刊，第19期。
     3.臧大年(1993)，「避險理論與策略」
     ，期貨交易理論與實務，財團法人中華民國證券暨期貨市場發展基金會。
     4.盧飛山(1990)，「金融期貨市場之角色與背景」，臺北市銀月刊，第21卷第4期。
     5.蔡春泉(1991)，「新台幣匯率風險管理外匯期貨契約與遠期外匯契約交叉避險之比較研究」，未出版之碩士論文。
     6.鄭適勳(1990)，「期貨市場特性與避險策略之研究──國際金融期貨之實證分析」，未出版之碩士論文。
     
     1. Anderson, R.W. And J.P.Danthine(1981), “Cross Hedging,” Journal of political Economy, 89, 1182-1196.
     
     2. Anderson, R.W. and J.P.Danthine(1982), “The Time Pattern of Hedging and the Volatility of Futures Prices,” Review of Economic Studies, 50, 249-265.
     
     3. Andrew Harvey(1990), The Econometric Analysis of Time Series, BPCC Wheaton Ltd,Exeter.
     
     4. Brown, S.L.1985) “A Reformulation of the Portfolio Model of Hedging, “American Journal of Agricultural Economics, 67, 508-512.
     
     5. Cecchetti, S.G., Cumby, R.E., and Figlewski, S.(1988), “Estimation of the Optimal Futures Hedge,” Review of Economics and Statistics, 70, 623-670.
     
     6. Chang, J.S.K. and L. Shanker(1987), “A Risk-return Measure of Hedging Effectiveness : A Comment,” Journal of Financial and Quantitative Analysis, 22, 373-376.
     
     7. Copeland, T.E. and Weston, J.F. (1988), Financial Theory and Corporate Policy , Addison-Wesley Publishing Company, Inc.
     
     8. Dale, C.(1981),”The Hedging Effectiveness of Currency Futures Markets, “Journal of Futures Markets ,1 , 77-88.
     
     9. Ederington, L.H.(1979), “The Hedging Performance of the New Furtures Markets,” Journal of Finance, 36, 157-170.
     
     10. Figlewski, S.(1984),”Hedging Performance and Basis Risk in Stock Index Futures,” Journal of Finance, July, 657-669.
     
     11. Figlewski, S.(1985),”Hedging with Stock Index Futures: Theory and Application in a New Market,” Journal of Futures Market, 5, 183-191.
     
     12. Frankle,C.T.(1980), “The Hedging Performance of the New Futures Markets: Comment , “ Journal of Finance, 35, 1273-1279.
     
     13. Hammer, J.A.(1988), “Hedging and Risk Aversion in the Foreign Currency Markets,”Journal of Futures Markets, 8, 657-686.
     
     14. Hammer, J.A. (1990), “Hedging Performance and Hedging Objectiveness: Test of New Performance Measures in the Foreign Currency Markets, “ Journal of Financial Research, 8, 307-323.
     
     15. Herbst, A.F.Kare, D.D., and Caples S.C.(1989), “Hedging Effectiveness and Minimum Risk Hedge Ratios in the Presence of Autocorrelation: Foreign Currency Futures, “ Journal of Futures Markets, 9, 185-197.
     
     16. Hill , J. and Scheeweis T. (1981), “A Note on the Hedging Effectiveness of Foreign Currency Futures,” Journal of Futures Markets, 4, 659-664.
     
     17. Hill , J. and Scheeweis T. (1982), “The Hedging Effectiveness of Foreign Currency Futures, “ Journal of Financial Research, 1, 95-104.
     
     18. Howard, C.T. and L.J. D’Antonio(1984), “A Risk-Return Measure of Hedging Effectiveness,” Journal of Financial and Quantitative Analysis, 19, 101-112
     
     19. Howard, C.T. and L.J. D’Antonio(1986), “Treasury Bill Futures as a Hedging Tool: A Risk-Return Approach,” Journal of Finacial Research, 9, 25-39.
     
     20. Howard , C.T. and L.J. D’Antonio(1987), “A Risk-Return Measure of Hedging Effectiveness : A Reply, “ Journal of Financial and Quantitative analysis, 22, 337-381.
     
     21. Judge, G.C. Hill, R.C. Griffiths, W. Lutkepohl, H. and Lee, T.C.(1988), Introduction to the Theory and Practice of Econometrics, John Wiley & Sons, Inc.
     
     22. Myers, R.J.(1991), “Estimating Time-Varying Optimal Hedge Ratios on Futures Markets,” Journal of Futures Markets, 11, 39-53.
     
     23. Solnik, Bruno(1988), International Investment, Addison-Wesley Publishing co., Massachusetts.
     
     24. Witt,Harvey J., Ted C. Schroeder, and Marvin L. Hayenga.(1987), “Comparision of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities,” Journal of Futures Markets, 22, 135-146.
     
     25. Working, H.(1953),”Futures Trading and Hedging,” American Economic Review, 43, 314-343.		zh_TW