An Investigation of Currency Hedging Strategies-Evidence from NTD/USD exchange rate

• Main Authors: Wan-yu Lu, 路宛諭
• Other Authors: 史綱, 何中達
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/93168714049464563054

碩士 === 國立中央大學 === 財務金融研究所 === 95 === In this paper, we stand in point of view of Taiwan Corporation and investors to investigate the efficiency of five strategies for hedging foreign exchange risk. The strategies are-full hedge, proportional hedge, selective hedge, optimal hedge, and moving average hedge. The last part of research we would prove under selective strategy use extra prediction information whether could be superior to the traditional alternative. We find that from the angle of corporation, full hedge performs best but its risk is higher. Selective strategy has lowest risk. Different hedging policies can be implemented according to how much risk corporation is willing to bear. From the angle of investor, account for return and risk in the same time, un-hedge strategy outperforms all the hedging strategies. Full hedge strategy could reduce risk more than any other strategy. Under having prediction information we precede selective strategy, and the result illustrates using spot exchange rate to predict future spot exchange rate is better than using predictors from internal investing bank of evidence from NTD/USD exchange rate.