外匯避險對海外投資的報酬率與風險的影響 －以台灣與美國的股票市場為例

Abstract

本研究站在本國投資人的立場並以我國股市與美國股市為例，引入外匯遠期契約作為規避外匯風險的工具，同時採用三種避險策略：完全避險、選擇性避險、最適避險，觀察這些策略對海外投資的報酬率與風險的影響，希望能找出對我國投資人最有利的外匯避險策略。 實證結果顯示，完全避險策略不但不能降低風險，反而會讓報酬率由正轉負。而選擇性避險策略雖然能規避最多的風險，但與完全避險策略一樣有報酬率被侵蝕至小於零的問題。最適避險策略是三種避險策略中，避險後的報酬率最高者，也是唯一報酬率為正者，是三種避險策略中較佳的策略；但若近一步將其與不避險下的單位風險報酬做比較，則發現最適避險的單位風險報酬率仍低於完全不避險。

We stand in Taiwan investors’ point of view to investigate the efficacy of three simple strategies for hedging foreign exchange risk. The strategies are: to always hedge, to hedge when the forward rate is at a premium, and the optimal hedge. We compare these strategies with an unhedged strategy and find that the “always-hedge” strategy not only result in higher risk but also account for negative return. An optimal hedge strategy generally performs better than the other two hedging strategies, but the unhedged strategy outperforms all the hedging strategies. We illustrate our results using a data set of Taiwan and U.S. stock markets.