| Summary: | 碩士 === 國立臺灣大學 === 財務金融學系 === 86 === Portfolio insurance strategies can serve the needs of investors who
wish their portfolios to be protected in bear markets and to participate
in the upward appreciation in bull markets. The strategies can not be
fulfilled without an appropriate hedging tool, and SIMEX MSCI Taiwan
index futures provide the investors with a choice.
The study has an empirical period from January 15th, 1997 to January
14th, 1998 , which is divided into sub-periods of four quarters, two
semi-years, or one year. Three kinds of strategies are adopted, including
synthetic put, CPPI, and TIPP.
The underlying asset is formed from the 77 constituent stocks of MSCI
Taiwan index, and stock and cash dividends are considered in this study.
The adjustments needed are made in the futures market.
Strategies adopted in this study suffer opportunity costs in bull
markets and enjoy excess returns in bear markets. Almost all strategies
can achieve their insurance goals in different periods except the third
quarter and the second semi-year periods.
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