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Title: | 外匯避險模型下之避險績效評估 Evaluating Hedging Effectiveness under Two Models |
Authors: | Fu-Hsien Huang 黃富纖 |
Advisor: | 曾郁仁 |
Keyword: | 外匯避險,避險績效,最小變異模型,夏普比率模型,避險策略, currency hedge,hedging effectiveness,minimum-variance model,Sharpe-ratio model,hedging strategy, |
Publication Year : | 2008 |
Degree: | 碩士 |
Abstract: | 本研究使用最小變異模型及夏普比率模型來評估避險績效,使用的避險策略包括完全避險、模型最適避險及選擇性避險,探討投資人使用遠期外匯契約規避美元兌台幣風險時,何種策略可以減少較多的風險,或是能夠增進單位風險下的報酬。研究中使用一個月的遠期外匯契約作避險,整個樣本期間分為四個子期間,以進行樣本外的測試。實證結果發現,使用最小變異模型評估之下,避險後可以有效減少外匯風險,且完全避險及模型最適避險較選擇性避險有效;使用夏普比率模型評估之下,除了選擇性避險,其它策略皆不能改進避險後投資組合的夏普比率;匯率的走勢會影響未避險部位的報酬,但是對避險績效沒有太大的影響。 This article uses two models to evaluate hedging effectiveness for different hedging strategies. The models are the minimum-variance model and the Sharpe-ratio model. The hedging strategies are full hedge, model-based hedge, and selective hedge. Moreover, the overall period is divided into four subperiods, and the out-of-sample test is used. The results for the hedging effectiveness of minimum-variance model show that hedging by using forwards contracts can really reduces foreign exchange risk. Using selective hedge is less effective than using model-based hedge and naive hedge. From the results for the hedging effectiveness of the Sharpe-ratio model, using foreign exchange forwards to hedge is not able to improve the risk-return performance in general. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37849 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融學系 |
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ntu-97-1.pdf Restricted Access | 298.31 kB | Adobe PDF |
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