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題名 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
作者 鄭適薰
貢獻者 許振明
鄭適薰
日期 1990
1989
上傳時間 3-May-2016 14:12:42 (UTC+8)
參考文獻 參考文獻
     一、英文部份
     1.Alexander,S.A. "Price Movement in Speculative Market Industrial Management Review
     5,Spring,1964, pp.25-46.
     2.Anderson.R.W ., and Danthine,J.P. "Cross Hedging".Journal of Political Economy.December 1981.pp.1181-1196.
     3.Chang.Jack.S.K.,and Shanker,L. "Hedging Effectiveness of Currency Options and Currency Futures". Journa1 of Futures Markets. Vo1.6,No.2.1986.pp289-305.
     4.Cheung.C.S.,and Yip.P.C.K. "The Hedging Effectiveness of Options and Futures A MEAN-Gini Approach",Journal of Futures Markets.Vol.10,No.l.1990.pp.61-73.
     5.Dickey .David A. and Wayne.A.Fuller "likely-hood ratio statistics for Autoregressive time series with a unit root ",Journal of American Statistical Association .1981.No,366.
     6. Duffie,Darrell "Futures Markets ". Prentice Hall ,New Jersey. 1989.
     7.Ederingon.L.H. "The heding Per:formance of the New Futures Markets",Journal of Finance.Vol.36,No.1.March 1979.pp.157-170.
     8. Fama. E. F. "The Behavior- of Stock-Market Price".Journal of Business,Jan.1965,pp.34-122.
     9.Fama,E.F.,and Blum.M.E. "Filter Rules and Market Trading" Journal o:f Business .Jan.
     1966 .PP.225-241
     10.Figlewski.s. "Hedging with Stock Index Futures :Theory and Application in a New Market" Journal o:f Futures Markets .Vol.5 ,No.2 1985 .pp.183-191
     11.----------- "Hedging Performance and Basis Risk in Stock Index Futures", Journa1 of
     Finance ,July ,1984 .PP.557-5691.Frankel,C.T. :The Hedging Performance o:f the New
     Futures Markets:Comment` .Journal of Finance,Dec.1980 .PP.1273-1279.
     12.Frankle .C.T."The Hedging Performance of the New Futures Markets: Comment" Journa1 of Finance.Dec.1980,pp.1273-1279.
     13.Grabbe,.J. Orlin "International Financial Market",Elserier,New York ,1986.
     14. Grammatikos , T. and Saunders, A. "Stability and the Hedging Performance of Forigen
     Currency Futures,"journal of Futures Markets No.3.1983.pp.295-305.
     15.Hammer,.Jerry.A."Hedging and Risk Aversion in the Foreign Currency Market",Journal
     of Futures Markets.No.6.1988.pp.657-686.
     16.Hill,.J. and Scheeweis T."A Note on the Hedging Effectiveness of Foreign Currency Futures".Journal of Futures Market.No.4.1981.pp.659-664.
     17.Houthakker.H.S."Systematic and Random Elements in Short Term Price Movements".American Economic Review 51.1961.pp.164-172.
     18.Junkus ,.J.C and Lee,C.F."Use of Three Stock Index Futures in Hedging Decisions" , Journal of Futures Markets.No.2.1985.pp.201-222.
     19.Kolb. Robert "Understanding Futures Markets",Second Edition.Scott Foresman and Company, Illinois .1988.
     20. Leuthold, R . M. "Random Walk and Price Trends: The Live Cattle Futures Markets", Journal of Finance.Autumn.1972.pp.879-889.
     21.Levi.Maurice-International Finance".McGraw-Hill Inc .New York.1983.
     22.Lypny.C.J.-Hedging Foreign Exchange Risk with Currency Futures: Portfolio Effects", Journal of Futures Markets .No.6.pp.703-713.
     23.Mammer.H.S.-Portfolio Model Hedging with Canadian Dollar Futures :A Framwork for
     Analysis-.Journal of Futures Markets.No.1.1986.pp.83-92.
     24. Overdahl, J . A. and Star leaf , D. R. "The Hedging Performance of the CD Futures Market" Journal of Futures Markets.No.1.1986.pp.71-81.
     25.Sauders.A.and Sienkiewicz.S."The Hedging Performance of ECU Futures Contracts" Journal of futures Markets.No.3.1988.pp.335-352.
     26.Scholes .M.S."The Economics of Hedging and Sprending in Futures Markets".Journal of Futures Markets.No.2.1981.
     27.Solnik .Brnuo"International Investment".Addison-Wesley Publishing Co., Massachusetts ,1988.
     28.Stevenson .R.A. and Bear.R.M."Commodity Futures Trends or Random Walks" Industrial Management Review .May 1970.pp.65-81.
     29.Toevs,A.L. and Jacob ,D.P. "Futures and Alternative hedge ratio methodologies" Journal of Portfolio Management,Spring 1986,pp.60-70.
     30. Veit, E. T. and Reiff ,W. W. "The Efficiency of Hedging with Financial Futures:A Historical Persoective",Journal of Futures Market.No.3,1982,pp.243-254.
     
     二、中文部份
     徐恭忠，「穿透法則的投資測試分析」，證交資料188期，PP.2-10。
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005351
資料類型 thesis
dc.contributor.advisor 許振明zh_TW
dc.contributor.author (Authors) 鄭適薰zh_TW
dc.creator (作者) 鄭適薰zh_TW
dc.date (日期) 1990en_US
dc.date (日期) 1989en_US
dc.date.accessioned 3-May-2016 14:12:42 (UTC+8)-
dc.date.available 3-May-2016 14:12:42 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:12:42 (UTC+8)-
dc.identifier (Other Identifiers) B2002005351en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90070-
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.tableofcontents 目錄
     第一章 研究動機與目的………1
     第二章 文獻回顧
     第一節 前言………4
     第二節 隨機漫步假說………6
     第三節 避險策略………10
     第三章 市場特性實證方法與結果
     第一節 前言………23
     第二節 隨機漫步與單一根檢定………24
     第三節 隨機漫步之實證結果………28
     第四章 避險策略實證方法與結果
     第一節 前言………34
     第二節 避險模型與策略………35
     第三節 實證結果………49
     第五章 結論與建議………62
     參考文獻………64		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005351en_US
dc.title (題名) 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zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
     一、英文部份
     1.Alexander,S.A. "Price Movement in Speculative Market Industrial Management Review
     5,Spring,1964, pp.25-46.
     2.Anderson.R.W ., and Danthine,J.P. "Cross Hedging".Journal of Political Economy.December 1981.pp.1181-1196.
     3.Chang.Jack.S.K.,and Shanker,L. "Hedging Effectiveness of Currency Options and Currency Futures". Journa1 of Futures Markets. Vo1.6,No.2.1986.pp289-305.
     4.Cheung.C.S.,and Yip.P.C.K. "The Hedging Effectiveness of Options and Futures A MEAN-Gini Approach",Journal of Futures Markets.Vol.10,No.l.1990.pp.61-73.
     5.Dickey .David A. and Wayne.A.Fuller "likely-hood ratio statistics for Autoregressive time series with a unit root ",Journal of American Statistical Association .1981.No,366.
     6. Duffie,Darrell "Futures Markets ". Prentice Hall ,New Jersey. 1989.
     7.Ederingon.L.H. "The heding Per:formance of the New Futures Markets",Journal of Finance.Vol.36,No.1.March 1979.pp.157-170.
     8. Fama. E. F. "The Behavior- of Stock-Market Price".Journal of Business,Jan.1965,pp.34-122.
     9.Fama,E.F.,and Blum.M.E. "Filter Rules and Market Trading" Journal o:f Business .Jan.
     1966 .PP.225-241
     10.Figlewski.s. "Hedging with Stock Index Futures :Theory and Application in a New Market" Journal o:f Futures Markets .Vol.5 ,No.2 1985 .pp.183-191
     11.----------- "Hedging Performance and Basis Risk in Stock Index Futures", Journa1 of
     Finance ,July ,1984 .PP.557-5691.Frankel,C.T. :The Hedging Performance o:f the New
     Futures Markets:Comment` .Journal of Finance,Dec.1980 .PP.1273-1279.
     12.Frankle .C.T."The Hedging Performance of the New Futures Markets: Comment" Journa1 of Finance.Dec.1980,pp.1273-1279.
     13.Grabbe,.J. Orlin "International Financial Market",Elserier,New York ,1986.
     14. Grammatikos , T. and Saunders, A. "Stability and the Hedging Performance of Forigen
     Currency Futures,"journal of Futures Markets No.3.1983.pp.295-305.
     15.Hammer,.Jerry.A."Hedging and Risk Aversion in the Foreign Currency Market",Journal
     of Futures Markets.No.6.1988.pp.657-686.
     16.Hill,.J. and Scheeweis T."A Note on the Hedging Effectiveness of Foreign Currency Futures".Journal of Futures Market.No.4.1981.pp.659-664.
     17.Houthakker.H.S."Systematic and Random Elements in Short Term Price Movements".American Economic Review 51.1961.pp.164-172.
     18.Junkus ,.J.C and Lee,C.F."Use of Three Stock Index Futures in Hedging Decisions" , Journal of Futures Markets.No.2.1985.pp.201-222.
     19.Kolb. Robert "Understanding Futures Markets",Second Edition.Scott Foresman and Company, Illinois .1988.
     20. Leuthold, R . M. "Random Walk and Price Trends: The Live Cattle Futures Markets", Journal of Finance.Autumn.1972.pp.879-889.
     21.Levi.Maurice-International Finance".McGraw-Hill Inc .New York.1983.
     22.Lypny.C.J.-Hedging Foreign Exchange Risk with Currency Futures: Portfolio Effects", Journal of Futures Markets .No.6.pp.703-713.
     23.Mammer.H.S.-Portfolio Model Hedging with Canadian Dollar Futures :A Framwork for
     Analysis-.Journal of Futures Markets.No.1.1986.pp.83-92.
     24. Overdahl, J . A. and Star leaf , D. R. "The Hedging Performance of the CD Futures Market" Journal of Futures Markets.No.1.1986.pp.71-81.
     25.Sauders.A.and Sienkiewicz.S."The Hedging Performance of ECU Futures Contracts" Journal of futures Markets.No.3.1988.pp.335-352.
     26.Scholes .M.S."The Economics of Hedging and Sprending in Futures Markets".Journal of Futures Markets.No.2.1981.
     27.Solnik .Brnuo"International Investment".Addison-Wesley Publishing Co., Massachusetts ,1988.
     28.Stevenson .R.A. and Bear.R.M."Commodity Futures Trends or Random Walks" Industrial Management Review .May 1970.pp.65-81.
     29.Toevs,A.L. and Jacob ,D.P. "Futures and Alternative hedge ratio methodologies" Journal of Portfolio Management,Spring 1986,pp.60-70.
     30. Veit, E. T. and Reiff ,W. W. "The Efficiency of Hedging with Financial Futures:A Historical Persoective",Journal of Futures Market.No.3,1982,pp.243-254.
     
     二、中文部份
     徐恭忠，「穿透法則的投資測試分析」，證交資料188期，PP.2-10。		zh_TW