| dc.contributor.advisor | 廖四郎<br>龐元愷 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (Authors) | 李文孝 | zh_TW |
| dc.contributor.author (Authors) | Lee , Wenhsiao | en_US |
| dc.creator (作者) | 李文孝 | zh_TW |
| dc.creator (作者) | Lee , Wenhsiao | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:06:06 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:06:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:06:06 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913520011 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34015 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352001 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 隨著台灣公債市場近幾年的交易量越來越大，且債市將面臨空頭的走勢，公債避險的重要性就愈重要。雖然今年開始有公債期貨上市，但交易量小且流動性不足，無法有效滿足避險者需求。因此本研究以利率走勢與台灣較接近的美國市場作為避險工具，選擇CBOT的利率期貨（包括5年期、10年期、30年期）做避險工具，台灣的公債做避險標的（5年期、10年期、20年期）。透過交叉避險探討在不同避險模型（包括單純法、最小平方法、誤差修正模型、GARCH模型）以及不同避險期間（日、週、雙週、月）下是否有顯著的效果。資料期間為2000年至2004年3月，實證結果顯示：公債現貨與美國期貨間存在共整合關係，表示現貨與期貨之間有長期均衡關係，但現貨與期貨間並無明顯異質變異情況。各模型中以誤差修正模型避險效果最佳；最小平方法與GARCH 模型避險效果次之且相似；單純法避險效果最差，且多為負效果。避險比例除了日資料外多具有顯著性，且隨著避險期間越長效果越佳。另外，避險比例在樣本期間內的穩定性相當高，顯示台美的利率結構算滿穩定的。5年期公債以5年期利率期貨規避最有效；10年期公債以10年期利率期貨規避最有效；20年期公債以30年期利率期貨規避最有效。其避險效果約在60%至70%，顯示交叉避險仍存在無法避免的風險。 | zh_TW |
| dc.description.abstract (摘要) | It is necessary and important for the hedge on Taiwan government bond because of the increasing trading volume and imminent bearish market. Although the 10-Year bond futures issue this year, it can’t satisfy hedgers for low trading volume and liquidity. Therefore, this study chooses the interest rate futures issued by CBOT to hedge Taiwan government bonds. Through cross hedging, to research which hedging model including Naïve hedge, OLS, ECM and GARCH model has the better hedge performance. | en_US |
| dc.description.tableofcontents | 目錄□.............................................................1表次□.............................................................2圖次□.............................................................2第壹章□緒論第一節□研究背景與動機□......................................3第二節□研究目的□............................................6第三節□研究架構□............................................7第貳章□文獻回顧第一節□期貨避險理論□........................................9第二節□國外實證文獻□.......................................12第三節□國內實證文獻□.......................................15第參章□研究方法第一節□單根檢定□...........................................18第二節□共整合檢定□.........................................20第三節□條件異質變異檢定□...................................21第四節□穩定性檢定□.........................................23第五節□最小平方法□.........................................24第六節□誤差修正模型□.......................................25第七節□GARCH(1,1)□........................................26第八節□Bivariate EC-GARCH□................................27第九節□避險績效衡量□.......................................28第肆章□實證結果與分析第一節□資料來源與處理□.....................................30第二節□統計檢定□...........................................32第三節□結果與分析□.........................................39第伍章□結論與建議第一節□結論□...............................................50第二節□研究限制與建議□.....................................51參考文獻□........................................................52 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913520011 | en_US |
| dc.subject (關鍵詞) | 交叉避險 | zh_TW |
| dc.subject (關鍵詞) | 誤差修正模型 | zh_TW |
| dc.subject (關鍵詞) | 利率期貨 | zh_TW |
| dc.title (題名) | 台灣公債避險實證 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 【中文部分】 | zh_TW |
| dc.relation.reference (參考文獻) | 1. 周立中，1998，美國公債期貨的避險效果之實證研究，淡江大學財務金融研究所，碩士論文。 | zh_TW |
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| dc.relation.reference (參考文獻) | 3. 楊玉嬌，1996，台幣利率之避險研究，元智工學院管理研究所，碩士論文。 | zh_TW |
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