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題名 債券期貨規避利率風險之研究 : 中長期公債實證
作者 羅際禎
LUO, JI-ZHEN
貢獻者 林烱垚
羅際禎
LUO, JI-ZHEN
日期 1992
1991
上傳時間 2-May-2016 15:12:54 (UTC+8)
摘要 為健全證券市場的發展擴大證券市場規模，促進證券金融並配合自由化、國際化目標，我國證券主管機關正研擬開放投資人使用期貨及選擇權等避險工具。而財政部證管會於八十年八月提出了修法改革計畫，研擬開放國內債券利率期貨買賣，藉以徹底杜絕非法的地下金融活動。國內銀行從事國外債券期貨交易的交易員指出，由於「期貨」具有以一搏十的槓桿乘數效果，而債券期貨市場的建立，投資人僅需以保證金方式進場操作，並可用時選擇買進或放空兩方向操作，市場靈活性將使投資人更有獲利機會。此外，期貨市場可使現貨市場投資人在利率看漲時，有拋空部位，降低投資風險，可望增強投資人對現貨市場的投資意願，對市場安定作用極大。
參考文獻 一、中文部份
1.李茂興，「認識期貨及選擇權──避險交易新工具的實例」，台北市銀月刊，第21卷，第4期，民國79 年4 月，頁74-89。
2.李儀坤，「債券期貨交易」，台北市銀月刊，第18 卷，第11 期，民國77 年11 月，頁23-45。
3.周文賢，「教育部學術研究資訊服務套裝程式研討會SAS/ETS 講義」，教育部電子計算機中心，民國七十八年二月。
4.林筠，「投資組合保險之策略與績效」，台北市銀月刊，第22卷，第5 期，民國80 年5月，頁2-10。
5.林英忠，「金融期貨市場及其計險操作」，台灣經濟金融月刊，第26 卷，第12 期，民國79 年12 月，頁18-30。
6.林玩香，「SAS使用手冊－高等統計篇」，儒林圖書有限公司，民國77 年4 月初版。
7. 金融人員研究訓練中心，「美國公債期貨市場」，金融研訓叢書之之四十八，民國80 年11 月初版。
8. 倪安順，「SAS基礎與統計應用手冊」，儒林圖書有限公司，民國76年6月。
9. 喬繼昌，「日本證券期貨文易、金融期貨及有價證券期貨交易概述」 證交資料，民國80 年11 月，頁1-7 。
10. 簡錦川「實戰外匯及債券操作」，書泉出版社，民國79年3月三版。
11.顏月珠，「商用統計學」，三民書局，民國75 年
12.顏月珠，「實用統計方法－圖解實例」，民國76 年10 月。

二、英文部份
1. Adler ,M., and Detemple ,J., "Hedging with Futrues in an Intertemporal Portfolio Context" , Journal of Futures Markets , No.8 , 1988 ,pp.249-269。
2. Anderson, R.W. , and Danthine,J.P., "Cross Hedging" , Journal of Political Economy, Vo1. 89, No.6 , 1981 ,pp.1182-1196.
3. Avraham Kamara and Andrew F. Siegel, "Optimal Hedging in Futures Markets Multiple Delivery Specifications", The Journal of Finance, Vo1.52, No .4 September 1987, pp.1007-1021。
4. Bll, David E., and Krasker, William B., "Estimating Hedge Ratio ," Financial Management, Summet, 1986, pp.1007-1021.
5. Bemminga,S. Eldor , R., and Zilcha, I. "The Optimal Hedge Ratio in Unbiased Futures Markets", Joural of Futures Markets, Vo1.4, No.2, April 1984, pp.155-159.
6. Bollerslev ,T., "Generalized Autoregressive Conditional Heteroscedasticity ", Journal of Economics31 , 1986, pp.307-327 .
7. Bond, Gory E. , Thompson, Stanley R. and Lee, Beeny M.S.,”Application of a Simplified Hedging Rule" , Journal of Futures Markets , Vo 1.7, No.1 ,1987, Pp.65-72 。
8. Castelino , Mark. "Basis Volatility Implications for Hedging " Journal of Financial Research , Vo1. 12, No.2, Summer 1989 , pp.157-172.
9. Cecchtti, S.G. , Gumby,R.E., and Figlewski,s. , "Estimation of the Optimal Futures Hedge" , Review of Economics and Statistics 70 ,1988, pp.623-630 .
10. Charles J.Franckle, "The Hedging Performance of the New Futures Markets: Comment", The Journal of Finance , Vol.35 , No.5 , December 1980, pp.1273-1279.
11. Charles T.Howard and Louis J.D`Antonio , "A Risk－Return Measure of Hedging Effectiveness" , Journal of Finanial and Quantitative Analysis, Vo 1.19, No.1 , March 1984, pp.101- 112
12. Christopher K.Ma, William H. Dare and Darla R. Donaldson , "Testing Rationality in Futures Markets" , The Journal of Futures Markets, Vo1.10, No.2,1990, p.137-152.
13. David R. Goldfarb, "Hedging Interest Rate Risk in Banking " The Journal of Futures Markets, Vo 1.7, No .4, 1987, pp .35-47。
14. Ederington, Louis H., "The Hedging Performance of the New Futures Markets " Journal of Finance, Vo1.34, No.1, March 1979 ,pp.157-170。
15. Elam ,E., "Hedging Risk Using Price Change and Price Lecel Regression",Journal of Economics 12, 1986, pp.132-135.
16. Emmett Elam , "Reduction in Hedging Risk from Adjusting for Autocorrelation in the Residuals of a Price Level Regression", The Journal of Futures Markets, Vo1.11,No.3, 1991, pp.371-384。
17. French, K.R. , "Detecting Spot Price Forecasts in Futures Prices" , Journal of Business 59 , April 1986, pp.39-54。
18. Gay, Gerald, Kolb , Robert and Chiang Raymond, "Interest Rate Hedging: An Empirical Test of Alternative Strategies " Journal of Financial Research , Spring 1986, PP.25-39。
19. George M. Mecabe and Donald P. Solberg , "Hedging in the Treasury Bill Futures Market When the Hedged Instrument and the Deliverable Instrument are not Matched" , The Journal of Futures Markets, Vo 1.9 , No.6 , 1989 , pp . 529-537 。
20. Hein , Scott E., Ma, Christopher K. and Mac Donald , S. Scott , "Testing Unbiasedness in Futures Markets: A Clarification", Journal of Futures Markets , Vo 1. 10, No.5 , 1990, pp.555-562
21. Herbst, A. , Karc,D., and Caples, S., "Hedging Effectiveness and Minimun Risk Hedging Ratios in the Presence of Autocorrelation " Journal of Futures Markets, Vo 1.9 , No.3. 1989 , pp.185-197。
22. Hill, Joanne, Liro , Joseph and Schneeweis, Thomas, "Hedging Performance of GNMA Futures Under Risking and Falling Interest Rates" , Journal of Futures Markers, Vo1.3, No .4, 1983 , pp .403-413。
23. Jack S.K. Chang , Hsing Fang , "An Intertemporal Measure of Hedging Effectiveness", Journal of Futures Markets , Vo 1.10, No.3 , 1990, pp.307-321 。
24. Jack S.K. Chang , Jean C.H. Loo and Carplyn C.Wu Charg, "The Pricing of Futures Contracts and The Arbitrage Pricing Theory" ,The Journal of Financial Research, Vo 1.13, No.4, Winter 1990, pp.297-305。
25. John Heaney, Geoffrey Poitras, "Estimation of the Optimal Hedge Ratio , Expected Utility, and Ordinary Least Squares Regression" , Journal of Futures Markets, Vo1.11, No.5 , 1991 , pp.603-612.
26. Khoury, Nabil T. and Martel, Jean - Marc , "Optimal Futures Hedging in the Presence of Asymmetric Information", Journal of Futures Markets , Vo1.5, No .4, 1985, pp.595-605.
27. Lasser,D.J., "A Measure of Ex Ante Hedging Effectiveness for the Treasury Bill and Treasury Bond Futures Markets" , Review of Futures Markets 2, 1987, pp.279-295。
28. MacDonald, S.S., Peterson, R.L. and Koch, T.W., "Using Futures to Improve Treasury Bill Portfolio Performance " , Journal of Futures Markets, Vo 1.8, No.2, 1988, pp.167-184。
29. Marcelle Arak, Laurie S. Goodman, "Trasury Bond Futures: Valuing the Delivery Options " Jouranl of Futures Markets, Vo 1.7, No.3 , 1987, pp.269-286。
30. Mark G. Castelino, “Minimum － Variance Hedging with Futures revisited" , Jouranl of Portfolio Management, Spring 1990, pp.74-80。
31. Miles Livingston, "The Effect of Coupon Level on Treasury Bond Futures Delivery " Jourual of Futures Markets , Vo 1.7, N 0.3 , 1987,pp.303-309 .
32. Nelson, Ray D. and Collins, Robert A, "A Measure of Hedging `s Performance " Journal of Futures Markets , Vo 1.5, N 0.1 , 1985, pp.45-55.
33. Peter W. Bacon and Richard E. Williams, "Interest Rate Futures: New Tool for the Financial Manager" , Financial Management , Spring 1976, pp.32-38。
34. Rene M.Stulz, "Optimal Hedge Policy " Journal of Financial and Quantitative Analysis , June 1984, pp.127-140.
35. Robert W. Kolb and Raymond Chiang , "Improving Hedging Performance Using Interest Rate Futures" , 1981。
36. Rober J. Myers, "Estimating Time－Varying Optimal Hedge Ratios on Futures markets " Journal of Futures Markets , Vo 1. 11 , No .1 , 1991 , pp.39-53。
37. S. Scott MacDonald, Scott E. Hein, "Futures Rates and Forward Rates as Predictors of Near－Term Treasury Bill Rate ", Journal of Futures Markets, Vo 1.9, No.3 , 1989, pp.249-262。
38. Shantaram P. Hedge , "The Forcast Performance of Treasury Bond Contracts" , Paper for College of Business Administration , University of Notre Dame, Indiana, 1986, pp.291-304。
39. Wardrep, Bruce N. and Buck, James F., "The Efficiency Hedging with Financial Futures: A Historial Perspective" , Journal of Futures Markets, Vo 1.2, No.3 , 1982, pp.243-254 。
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004465
資料類型 thesis
dc.contributor.advisor 林烱垚zh_TW
dc.contributor.author (Authors) 羅際禎zh_TW
dc.contributor.author (Authors) LUO, JI-ZHENen_US
dc.creator (作者) 羅際禎zh_TW
dc.creator (作者) LUO, JI-ZHENen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-May-2016 15:12:54 (UTC+8)-
dc.date.available 2-May-2016 15:12:54 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:12:54 (UTC+8)-
dc.identifier (Other Identifiers) B2002004465en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89124-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (摘要) 為健全證券市場的發展擴大證券市場規模，促進證券金融並配合自由化、國際化目標，我國證券主管機關正研擬開放投資人使用期貨及選擇權等避險工具。而財政部證管會於八十年八月提出了修法改革計畫，研擬開放國內債券利率期貨買賣，藉以徹底杜絕非法的地下金融活動。國內銀行從事國外債券期貨交易的交易員指出，由於「期貨」具有以一搏十的槓桿乘數效果，而債券期貨市場的建立，投資人僅需以保證金方式進場操作，並可用時選擇買進或放空兩方向操作，市場靈活性將使投資人更有獲利機會。此外，期貨市場可使現貨市場投資人在利率看漲時，有拋空部位，降低投資風險，可望增強投資人對現貨市場的投資意願，對市場安定作用極大。zh_TW
dc.description.tableofcontents 第一章 緒論.......................... 1
第一節 研究背景..........................1
第二節 研究動機..........................2
第三節 研究目的..........................3
第四節 研究步驟及內容.......................... 5
本章註釋.......................... 6
第二章 債券期貨及其市場交易介紹.......................... 7
第一節 債券期貨的基本概念.......................... 7
第二節 債券期貨的功能與特徵..........................15
第三節 債券期貨市場簡介.......................... 17
本章註釋..........................20
第三章 避險理論探討及研究設計..........................21
第一節 避險之概念與目的..........................21
第二節 避險理論之發展..........................23
第三節 實證模型之建立..........................35
本章註釋.......................... 44
第四章 實證結果分析..........................47
第一節 避險期間長短之影響..........................47
第二節 避險比率穩定性驗證..........................49
本章註釋..........................67
第五章 結論與建議..........................69
第一節 結論..........................69
第二節 建議..........................71
參考文獻..........................73
附錄A 美國公債期貨合約交易規格..........................79
附錄B 研究期間週資料..........................80		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004465en_US
dc.title (題名) 債券期貨規避利率風險之研究 : 中長期公債實證zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
1.李茂興，「認識期貨及選擇權──避險交易新工具的實例」，台北市銀月刊，第21卷，第4期，民國79 年4 月，頁74-89。
2.李儀坤，「債券期貨交易」，台北市銀月刊，第18 卷，第11 期，民國77 年11 月，頁23-45。
3.周文賢，「教育部學術研究資訊服務套裝程式研討會SAS/ETS 講義」，教育部電子計算機中心，民國七十八年二月。
4.林筠，「投資組合保險之策略與績效」，台北市銀月刊，第22卷，第5 期，民國80 年5月，頁2-10。
5.林英忠，「金融期貨市場及其計險操作」，台灣經濟金融月刊，第26 卷，第12 期，民國79 年12 月，頁18-30。
6.林玩香，「SAS使用手冊－高等統計篇」，儒林圖書有限公司，民國77 年4 月初版。
7. 金融人員研究訓練中心，「美國公債期貨市場」，金融研訓叢書之之四十八，民國80 年11 月初版。
8. 倪安順，「SAS基礎與統計應用手冊」，儒林圖書有限公司，民國76年6月。
9. 喬繼昌，「日本證券期貨文易、金融期貨及有價證券期貨交易概述」 證交資料，民國80 年11 月，頁1-7 。
10. 簡錦川「實戰外匯及債券操作」，書泉出版社，民國79年3月三版。
11.顏月珠，「商用統計學」，三民書局，民國75 年
12.顏月珠，「實用統計方法－圖解實例」，民國76 年10 月。

二、英文部份
1. Adler ,M., and Detemple ,J., "Hedging with Futrues in an Intertemporal Portfolio Context" , Journal of Futures Markets , No.8 , 1988 ,pp.249-269。
2. Anderson, R.W. , and Danthine,J.P., "Cross Hedging" , Journal of Political Economy, Vo1. 89, No.6 , 1981 ,pp.1182-1196.
3. Avraham Kamara and Andrew F. Siegel, "Optimal Hedging in Futures Markets Multiple Delivery Specifications", The Journal of Finance, Vo1.52, No .4 September 1987, pp.1007-1021。
4. Bll, David E., and Krasker, William B., "Estimating Hedge Ratio ," Financial Management, Summet, 1986, pp.1007-1021.
5. Bemminga,S. Eldor , R., and Zilcha, I. "The Optimal Hedge Ratio in Unbiased Futures Markets", Joural of Futures Markets, Vo1.4, No.2, April 1984, pp.155-159.
6. Bollerslev ,T., "Generalized Autoregressive Conditional Heteroscedasticity ", Journal of Economics31 , 1986, pp.307-327 .
7. Bond, Gory E. , Thompson, Stanley R. and Lee, Beeny M.S.,”Application of a Simplified Hedging Rule" , Journal of Futures Markets , Vo 1.7, No.1 ,1987, Pp.65-72 。
8. Castelino , Mark. "Basis Volatility Implications for Hedging " Journal of Financial Research , Vo1. 12, No.2, Summer 1989 , pp.157-172.
9. Cecchtti, S.G. , Gumby,R.E., and Figlewski,s. , "Estimation of the Optimal Futures Hedge" , Review of Economics and Statistics 70 ,1988, pp.623-630 .
10. Charles J.Franckle, "The Hedging Performance of the New Futures Markets: Comment", The Journal of Finance , Vol.35 , No.5 , December 1980, pp.1273-1279.
11. Charles T.Howard and Louis J.D`Antonio , "A Risk－Return Measure of Hedging Effectiveness" , Journal of Finanial and Quantitative Analysis, Vo 1.19, No.1 , March 1984, pp.101- 112
12. Christopher K.Ma, William H. Dare and Darla R. Donaldson , "Testing Rationality in Futures Markets" , The Journal of Futures Markets, Vo1.10, No.2,1990, p.137-152.
13. David R. Goldfarb, "Hedging Interest Rate Risk in Banking " The Journal of Futures Markets, Vo 1.7, No .4, 1987, pp .35-47。
14. Ederington, Louis H., "The Hedging Performance of the New Futures Markets " Journal of Finance, Vo1.34, No.1, March 1979 ,pp.157-170。
15. Elam ,E., "Hedging Risk Using Price Change and Price Lecel Regression",Journal of Economics 12, 1986, pp.132-135.
16. Emmett Elam , "Reduction in Hedging Risk from Adjusting for Autocorrelation in the Residuals of a Price Level Regression", The Journal of Futures Markets, Vo1.11,No.3, 1991, pp.371-384。
17. French, K.R. , "Detecting Spot Price Forecasts in Futures Prices" , Journal of Business 59 , April 1986, pp.39-54。
18. Gay, Gerald, Kolb , Robert and Chiang Raymond, "Interest Rate Hedging: An Empirical Test of Alternative Strategies " Journal of Financial Research , Spring 1986, PP.25-39。
19. George M. Mecabe and Donald P. Solberg , "Hedging in the Treasury Bill Futures Market When the Hedged Instrument and the Deliverable Instrument are not Matched" , The Journal of Futures Markets, Vo 1.9 , No.6 , 1989 , pp . 529-537 。
20. Hein , Scott E., Ma, Christopher K. and Mac Donald , S. Scott , "Testing Unbiasedness in Futures Markets: A Clarification", Journal of Futures Markets , Vo 1. 10, No.5 , 1990, pp.555-562
21. Herbst, A. , Karc,D., and Caples, S., "Hedging Effectiveness and Minimun Risk Hedging Ratios in the Presence of Autocorrelation " Journal of Futures Markets, Vo 1.9 , No.3. 1989 , pp.185-197。
22. Hill, Joanne, Liro , Joseph and Schneeweis, Thomas, "Hedging Performance of GNMA Futures Under Risking and Falling Interest Rates" , Journal of Futures Markers, Vo1.3, No .4, 1983 , pp .403-413。
23. Jack S.K. Chang , Hsing Fang , "An Intertemporal Measure of Hedging Effectiveness", Journal of Futures Markets , Vo 1.10, No.3 , 1990, pp.307-321 。
24. Jack S.K. Chang , Jean C.H. Loo and Carplyn C.Wu Charg, "The Pricing of Futures Contracts and The Arbitrage Pricing Theory" ,The Journal of Financial Research, Vo 1.13, No.4, Winter 1990, pp.297-305。
25. John Heaney, Geoffrey Poitras, "Estimation of the Optimal Hedge Ratio , Expected Utility, and Ordinary Least Squares Regression" , Journal of Futures Markets, Vo1.11, No.5 , 1991 , pp.603-612.
26. Khoury, Nabil T. and Martel, Jean - Marc , "Optimal Futures Hedging in the Presence of Asymmetric Information", Journal of Futures Markets , Vo1.5, No .4, 1985, pp.595-605.
27. Lasser,D.J., "A Measure of Ex Ante Hedging Effectiveness for the Treasury Bill and Treasury Bond Futures Markets" , Review of Futures Markets 2, 1987, pp.279-295。
28. MacDonald, S.S., Peterson, R.L. and Koch, T.W., "Using Futures to Improve Treasury Bill Portfolio Performance " , Journal of Futures Markets, Vo 1.8, No.2, 1988, pp.167-184。
29. Marcelle Arak, Laurie S. Goodman, "Trasury Bond Futures: Valuing the Delivery Options " Jouranl of Futures Markets, Vo 1.7, No.3 , 1987, pp.269-286。
30. Mark G. Castelino, “Minimum － Variance Hedging with Futures revisited" , Jouranl of Portfolio Management, Spring 1990, pp.74-80。
31. Miles Livingston, "The Effect of Coupon Level on Treasury Bond Futures Delivery " Jourual of Futures Markets , Vo 1.7, N 0.3 , 1987,pp.303-309 .
32. Nelson, Ray D. and Collins, Robert A, "A Measure of Hedging `s Performance " Journal of Futures Markets , Vo 1.5, N 0.1 , 1985, pp.45-55.
33. Peter W. Bacon and Richard E. Williams, "Interest Rate Futures: New Tool for the Financial Manager" , Financial Management , Spring 1976, pp.32-38。
34. Rene M.Stulz, "Optimal Hedge Policy " Journal of Financial and Quantitative Analysis , June 1984, pp.127-140.
35. Robert W. Kolb and Raymond Chiang , "Improving Hedging Performance Using Interest Rate Futures" , 1981。
36. Rober J. Myers, "Estimating Time－Varying Optimal Hedge Ratios on Futures markets " Journal of Futures Markets , Vo 1. 11 , No .1 , 1991 , pp.39-53。
37. S. Scott MacDonald, Scott E. Hein, "Futures Rates and Forward Rates as Predictors of Near－Term Treasury Bill Rate ", Journal of Futures Markets, Vo 1.9, No.3 , 1989, pp.249-262。
38. Shantaram P. Hedge , "The Forcast Performance of Treasury Bond Contracts" , Paper for College of Business Administration , University of Notre Dame, Indiana, 1986, pp.291-304。
39. Wardrep, Bruce N. and Buck, James F., "The Efficiency Hedging with Financial Futures: A Historial Perspective" , Journal of Futures Markets, Vo 1.2, No.3 , 1982, pp.243-254 。		zh_TW