| Summary: | 碩士 === 淡江大學 === 會計學系 === 88 === In the past, the basis of portfolio theory is investment of dispersion in individual assets. Past research in the futures hedging is use large-scale portfolio as spot of the character of extreme dispersion. This paper emphasized how to use index futures as hedging tools when spot is concentrated in industries.
In CAPM, it can drive out nonsystematic risk by the way of holding stocks, and then it can hedging systematic risk with index futures. In this paper, we use Taiwan''s Stock Indices and Industries Indices as spots to analyze the hedging effect of futures in different purposes.
This paper research Taiwan''s Stock Indices and Industries Indices hedging with TAIEX(Taiwan Stock Exchange Capitalization Weighted Stock Index) Futures, SIMEX MSCI Taiwan Index Futures, Electronic Index Futures and Banking and Insurance Index Futures. OLS-modeled and GARCH-modeled hedging strategies compared with Native strategies to determine which hedge ratio performs better,and measure hedge performance in different hedge purposes.
The main empirical findings are as below:
1. Most hedge ratios are smaller than 1,that is different from the suspect of Native hedging strategies. It is shown that the Native hedging strategies may hedge too much.
2. The optimal hedge ratios will increase with the hedge period, and it shows investor should increase futures contracts with the hedge period.
3. Large- spot portfolios will cause the better hedge performances in risk measurement method.
4. In risk measurement method, no matter what commodity, the hedge performances of Electronic Indices Spot and Banking and Insurance Indices Spot are better than traditional Industries Indices Spots.
5. Some Industries Indices hedging with Electronic Index Futures and Banking and Insurance Index Futures can get the better hedge performances than TAIEX Index Futures or SIMEX MSCI Taiwan Index Futures, that is the two new and developing futures could be investor''s hedge tools.
6. According to the in-sample and the out-sample hedge performance obtained from GARCH model is not superior to those obtained from the OLS model. The estimation method didn''t fix.
7. The spot portfolios of different risk structures adopt dissimilar hedge periods, futures and estimation methods, will make the variation of hedge performances. Hedge performance should measure in accordance with the investors'' investment character.
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