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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Fu-Hsien Huang | en |
dc.contributor.author | 黃富纖 | zh_TW |
dc.date.accessioned | 2021-06-13T15:47:14Z | - |
dc.date.available | 2009-07-07 | |
dc.date.copyright | 2008-07-07 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-06-30 | |
dc.identifier.citation | Abe De Jong, Francs De Roon, and Chris Veld, 1997, Out-of- Sample Hedging Effectiveness of Currency Futures for Alternative Models and Hedging Strategies, The Journal of Futures Markets 17, 817-837
Aggarwal, R., and Demasky, A. L., 1997, Using Derivatives in Major Currencies for Cross-Hedging Currency Risks in Asian Emerging Markets, The Journal of Futures Markets 17, 781-796 Baz, J., Breedon, F., Naik V., and Peress J., 2001, Optimal Portfolios of Foreign Currencies, Journal of Portfolio Management 28, 102-111 Chang, J. S. K., and Shanker, L., 1986, Hedging Effectiveness of Currency Options and Currency Futures, The Journal of Futures Markets 6, 289-305 Chang, J. S. K., and Shanker, L., 1987, A Risk-Return Measure of Hedging Effectiveness: A Comment, Journal of Financial and Quantitative Analysis 22, 373-376 Ederington, L. H., 1979, The Hedging Performance of the New Futures Markets, The Journal of Finance 34, 157-170 Eun, C. S., and Bruce, G. R., 1997, International Equity Investment with Selective Hedging Strategies, Journal of International Financial Markets, Institutions and Money 7, 21-42 Geppert, J. M., 1995, A Statistic Model for the Relationship between Futures Contract Hedging Effectiveness and Investment Horizon Length, The Journal of Futures Markets 15, 507-536 Howard, C. T., and D’Antonio, L. J., 1984, A Risk-Return Measure of Hedging Effectiveness, Journal of Financial and Quantitative Analysis 19, 101-112 Howard, C. T., and D’Antonio, L. J., 1987, A Risk-Return Measure of Hedging Effectiveness: A Reply, Journal of Financial and Quantitative Analysis 22, 377-381 Malliaris, A. G., and Urrutia, j., 1991, The Impact of the Lengths of Estimation Periods and Hedging Horizons on the Effectiveness of a Hedge: Evidence from Foreign Currency Futures, The Journal of Futures Markets 11, 271-289 Meese, R. A., Rogoff, K., 1983, Empirical Exchange Rate Models of the Seventies, Journal of International Economics 14, 3-24 Morey, M. R., and Simpson, M. W., 2001, To Hedge or not To Hedge: the Performance of Simple Strategies for Hedging Foreign Exchange Risk, Journal of Multinational Financial Management 11, 213-223 蔡瑧怡,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,國立台灣大學財務金融學研究所碩士論文, 民國95年6月 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37849 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T15:47:14Z (GMT). No. of bitstreams: 1 ntu-97-R95723066-1.pdf: 305474 bytes, checksum: 4d23d3379bd81865ee9d8920c9d6edd0 (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | Content
誌謝...................................................i 中文摘要 .............................................ii 英文摘要.............................................iii Introduction...........................................1 Methodology and Data Description.......................8 2.1 Methodology for Hedges ............................8 2.2 Data .............................................11 Empirical Results.....................................14 3.1 Statement of the Hedge Ratios....................14 3.2 Return and Risk Analysis for Hedging Strategies..14 3.3 Results for the Hedging Effectiveness............18 Conclusions...........................................21 References............................................24 | |
dc.language.iso | en | |
dc.title | 外匯避險模型下之避險績效評估 | zh_TW |
dc.title | Evaluating Hedging Effectiveness under Two Models | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 王儷玲,繆震宇 | |
dc.subject.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, | zh_TW |
dc.subject.keyword | currency hedge,hedging effectiveness,minimum-variance model,Sharpe-ratio model,hedging strategy, | en |
dc.relation.page | 25 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2008-06-30 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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