以OLS模型探討四種台灣指數期貨的避險效果

Abstract

對於大多數台灣的投資人而言，目前主流的投資市場為股票市場，當投資人持有大量現貨部位時，可在期貨市場建立反向部位做避險的動作。 本研究利用四種不同的指數類期貨商品，分別為台指期、電子期、金融期及摩台指來針對現貨標的物「台灣加權股價指數」做避險效果的分析，研究方法為透過Ordinary Least Squares(OLS) 模型來估算最適避險比率，並設定四種避險期間，分別為單日避險(1日)、週避險(5日)、雙週避險(10日)、月避險(20日)，計算投資組合避險後的報酬率，佐以四種避險績效指標HER、 HEV、HERV及Sharpe Ratio來探討這四種商品的避險效果，讓投資人在不同避險需求下可挑選適合自己的避險商品。 研究資料為現貨與期貨的每日收盤價，時間從2010年1月4日至2015年4月30日，一共1317個交易日，透過對數轉換將每日收盤價轉換成報酬率的型式。利用ADF檢定及PP檢定來檢查報酬率資料是否為恆定性資料，若為非恆定性資料，需透過一階差分過程將資料轉換成定態型資料。 實證結果顯示，當這四種指數期貨商品以HEV值做為避險績效指標時，利用台指期以月為避險週期可以降低最多風險，以HER值做為避險績效指標時，若選擇摩台指以月為避險週期，可在避險之後使投資組合報酬率下降幅度最少，以HERV值做為避險績效指標時，已考慮風險與獲利之間的權衡關係，可使用台指期與電子期做為避險商品，其中電子期較佳，而使用Sharpe Ratio做為避險績效指標時，電子期與摩台指是不錯的避險選擇。

For most investors in Taiwan, the current main investment market is stock market. When investors obtain numerous positions in the stock market, they may set up reverse positions in future markets to hedge the positions in the spot market. This thesis proposes four different performance indicators, which are HER, HEV, HERV and Sharpe Ratio to compare hedge effectiveness between four types of future contracts, including TX, TE, TF and SIMEX. The author uses Ordinary Least Squares model to estimate the optimal hedge ratio with four different data periods, which are one day, five days, ten days and twenty days respectively, and calculates the rate of return of the portfolio after hedging. The author collects TAIEX, TX, TE, TF and SIMEX daily closing price from January 4, 2010 to April 30, 2015, a total of 1317 days, and uses a logarithmic transformation to convert the daily closing price into rate of return with four different data periods. Then, the author adopts Augmented Dickey-Fuller test and Phillips-Perron test to determine whether the rate of return data is stationary or not, if the data is not stationary, it should be modified by first-order differential process and transforms into stationary data. The research shows four results as following. First of all, if investors tend to minimize their portfolio risks, they should choose TX future contracts and use HEV as their hedge performance indicators, moreover, if investors want to maximize their profits, they should choose SIMEX future contracts and use HER as their hedge performance indicator, next, if investors want to balance between risks and profits, they should choose TX and TE future contracts and use HERV as their hedge performance indicator. Last but not least, investors can choose TE and SIMEX future contracts if they use Sharpe Ratio as their hedge performance indicator.