| Summary: | 碩士 === 銘傳大學 === 經濟學系碩士在職專班 === 92 === Goal of expectation affiliation this research by establishment simulation investment profolio discussion the Taiwan stock index futures hedge effect. In addition, the Taiwan 50 index funds and the futures license to June 30, 2003 to the Taiwan stock market and the Taiwan futures exchange to go on the market. This research draws up by the Taiwan stock index futures and the Taiwan 50 index futures hedge achievements makes the appraisal, hedge achievements real diagnosis result as follows:
1、The simple hedge law ,the reward rate equally is 0.49%, but uses the most left wing tail to move the difference hedge ratio law to obtain the ratio is -1.6, the reward rate equally is 0.56%, if completely has not picked hedge, the reward rate equally is 0.36%.
2、Material of from September 15, 2003 to the January 15, 2004, the Taiwan stock index futures to simulates the investment profolio hedge transaction the average reward rate is 0.31%, the same time without hedge, the average reward rate has not been 0.29%; and using the Taiwan stock index futures to the Taiwan 50 index funds hedge, the average reward rate is 0.76%, the same time without hedge the average reward rate has not been -0.81%.
3、The Taiwan 50 index futures to the Taiwan 50 index funds hedge transaction the average reward rate are -0.51%, the same time without hedge, the average reward rate has not been -0.81%; but the Taiwan 50 index futures to simulate the investment profolio to be engaged in hedge the transaction obtained, the average reward rate are -0.68%, the same time if has not been engaged in hedge the average reward rate is 0.29%.
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