最小化Riskiness策略於美元兌新台幣避險實證研究

Abstract

參考Yi-Ting Chen、Keng-Yu Ho以及Larry Y.Tzeng(2014)發表的Riskiness minimizing sopt-futures hedge ratio並以外匯市場做實證研究：探討新的避險策略於美元兌新台幣避險的實證結果。新的避險策略以Aumman與Serrano(2008)提出的Riskiness作為風險衡量指標，該指標具有隨機優越的特質、不受資產報酬率分配的型態限制以及將資產報酬率納入風險考量，改善傳統風險衡量指標的限制。 本論文以最小化Riskiness作為新的避險策略，利用美元兌新台幣的本金交割遠期外匯市場(Delivery Forward, DF)以及無本金交割遠期外匯市場(Non deli deliverable Forwards, NDF)作為外匯避險工具並放寬避險比率的限制，進而分析新避險策略與最小變異數法所計算出來的最適避險比率、避險投資組合報酬分配以及避險績效的差異。 研究期間從1994年至2018年止，此期間歷經完整景氣復甦、繁榮、過熱以及衰退週期並涵蓋多種匯率波動狀況。此外，除了採用長期時間進行研究之外，本論文亦從長期資料拆出美元對台幣貶值以及升值兩個情境進行探討，期望增強研究結果可信度。 研究結果顯示利用最小化Riskiness方法得出的最適避險比率在不同情境會有較大調整，最小化變異數法的避險比率則不論在何種情境都較接近100%；最小化Riskiness方法比最小變異數法得出的避險投資組合有更高的報酬率且受風險趨避程度較高的投資者喜愛。

The thesis refers to a new hedging strategy derived from 'Riskiness minimizing spot-futures hedge ratio' written by Yi-Ting Chen、Keng-Yu Ho and Larry Y.Tzeng in 2014 and brings it to application on the USD/TWD market. The new hedging strategy uses Riskiness proposed by Aumman and Serrano in 2008 as risk measurement. The A&S Riskiness index removes some of the limitations on traditional risk measurements due to the following characteristics：satisfying monotonicity with respect to stochastic dominance, not being limited by the return rates of the distribution of assets and taking both risk and return into consideration. This thesis uses Delivery Forward and Non-deliverable Forward as hedging tools and liberates the limitation on hedge ratio from 0%~100% to -200%~200%. The thesis then analyzes the differences in the optimal hedge ratio, the distributions of the return rates of hedging portfolios and the effectiveness of hedging strategies between the minimizing riskiness and variance methods. The period of research and sampling is from 1994 to 2018 and it contains completed economy cycles and various USD/TWD’s volatility situations. In addition to the general scenario, the thesis also includes an analysis of two other scenarios：that of an appreciating USD, and that of a depreciating USD against the NTD. The empirical results show that the optimal hedge ratio derived from minimizing riskiness method is more elastic than that derived from minimizing variance method. And a hedging portfolio that adopts the minimizing riskiness method has a higher expected return rate and is preferred by investors who have more aversion to risk.