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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫 | |
| dc.contributor.author | Szu-Hua Chen | en |
| dc.contributor.author | 陳思樺 | zh_TW |
| dc.date.accessioned | 2021-06-17T00:19:37Z | - |
| dc.date.available | 2017-07-03 | |
| dc.date.copyright | 2012-07-03 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-06-25 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66033 | - |
| dc.description.abstract | 過去有相當多文獻以外匯期貨來規避外匯價格風險, 但文獻上很少有人嘗試以
其他資產進行交叉避險的策略, 因此本文加入具有貨幣性質且能抵抗全球幣值波 動的黃金及其期貨, 並利用投資組合風險極小化概念, 來分析單一資產與多重資產 組合避險績效之優劣。本研究的樣本期間為 1999 年 1 月 5 日至 2012 年3 月30日, 以OLS 、單變量GARCH 與DCC-GARCH 模型為研究方法, 針對外匯市 場流通量較大的六種主要貨幣—澳幣(AUD) 、加幣(CAD) 、日圓(JPY) 、瑞士 法郎(CHF) 、歐元(EUR) 以及英鎊(GBP) 下的五種避險策略進行分析。實證 結果發現: (一) 純粹採用外匯期貨避險之績效優於僅採用黃金現貨、期貨之避險 策略; (二) 單一與多重避險策略之避險績效無顯著差異; (三) 大致而言, OLS 模型所求得之避險績效略優於GARCH 與DCC-GARCH 模型。 | zh_TW |
| dc.description.abstract | While several studies have indicated that currency futures contracts can effectively minimize foreign exchange risk, few studies have discussed cross-hedging strategies using other assets. Gold is known as its monetary property
and anti-cyclical nature. Therefore, we try to add gold and its futures into our currency exchange hedging strategies to see whether hedging effectiveness would be improved or not. We focus on the hedging strategies of six main foreign exchange markets: Australian dollar (AUD), Canadian dollar (CAD), Swiss franc (CHF), Euro (EUR), British pound (GBP), and Japanese yen (JPY). We compare the hedging effectiveness of five hedging strategies under three different empirical models: OLS, GARCH, and DCC-GARCH.Using daily data from 5 January 1999 to 30 March 2012, we find three main results: (1) Performance of hedging strategies using currency exchange futures is better than those using gold or its futures. (2) There’s no significant difference on hedging effectiveness between single-asset and multiple-asset portfolio hedging strategies. (3) The hedging effectiveness of OLS model is better than GARCH model and DCC-GARCH model on average. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T00:19:37Z (GMT). No. of bitstreams: 1 ntu-101-R99323044-1.pdf: 1445917 bytes, checksum: e24ea1359bac079fa78f9beaeab5802a (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書
謝辭i 摘要ii Abstract iii 1 緒論1 1.1 研究背景與動機. . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 研究目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1.3 本文架構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.4 研究流程. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2 期貨與避險理論介紹6 2.1 期貨介紹. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.2 避險理論介紹. . . . . . . . . . . . . . . . . . . . . . . . . . . 8 2.2.1 傳統避險理論. . . . . . . . . . . . . . . . . . . . . . . 8 2.2.2 選擇性避險理論. . . . . . . . . . . . . . . . . . . . . . 8 2.2.3 投資組合避險理論. . . . . . . . . . . . . . . . . . . . 9 3 國內外相關實證文獻回顧12 3.1 期貨避險. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.2 黃金避險. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 3.3 多重期貨以及交叉避險. . . . . . . . . . . . . . . . . . . . . . 19 4 實證方法21 4.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 4.2 自我相關異質變異檢定. . . . . . . . . . . . . . . . . . . . . . 22 4.2.1 Ljung-Box Q2 統計量. . . . . . . . . . . . . . . . . . . 23 4.2.2 ARCH-LM 檢定. . . . . . . . . . . . . . . . . . . . . . 24 4.3 實證避險模型. . . . . . . . . . . . . . . . . . . . . . . . . . . 24 4.3.1 最小平方法. . . . . . . . . . . . . . . . . . . . . . . . 25 4.3.2 GARCH . . . . . . . . . . . . . . . . . . . . . . . . . . 25 4.3.3 DCC-GARCH . . . . . . . . . . . . . . . . . . . . . . . 26 4.4 避險績效之衡量. . . . . . . . . . . . . . . . . . . . . . . . . . 34 5 實證結果與分析35 5.1 資料來源與處理. . . . . . . . . . . . . . . . . . . . . . . . . . 35 5.2 敘述統計與基本分析. . . . . . . . . . . . . . . . . . . . . . . 35 5.3 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 5.4 最適避險比率與避險績效分析. . . . . . . . . . . . . . . . . . 40 6 結論46 參考文獻48 | |
| dc.language.iso | zh-TW | |
| dc.subject | 外匯避險 | zh_TW |
| dc.subject | 黃金 | zh_TW |
| dc.subject | 最適避險比率 | zh_TW |
| dc.subject | DCC-GARCH | zh_TW |
| dc.subject | 交叉避險 | zh_TW |
| dc.subject | cross hedging | en |
| dc.subject | currency exchange hedging | en |
| dc.subject | gold | en |
| dc.subject | optimal hedge ratio | en |
| dc.subject | DCC-GARCH | en |
| dc.title | 外匯市場最適避險策略之研究 | zh_TW |
| dc.title | An Analysis of Optimal Hedging Strategy for Currency Exchange Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 郭平欣,高櫻芬,林金龍,李沃牆 | |
| dc.subject.keyword | 外匯避險,黃金,最適避險比率,DCC-GARCH,交叉避險, | zh_TW |
| dc.subject.keyword | currency exchange hedging,gold,optimal hedge ratio,DCC-GARCH,cross hedging, | en |
| dc.relation.page | 52 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-06-26 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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