| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 96 === This research refers to the TXO (Taiwan index options) short side transaction strategies and sell the MTX (Mini Taiwan stock index futures) to avoid the system risk of holding the Taiwan 50 index fund. The sample periods from January 28, 2004 to December 20, 2007, the month materials of total four years, treat as the Taiwan 50 index funds and each simulation strategies by the cost of each month new warehouse date of various commodities closing price , and refers to the MTX and TXO settlement price and the same day of the Taiwan 50 index fund closing price computation profit and loss, According to actual numeral compares TXO with MTX to avoid the system risk effect for holding Taiwan 50 index funds, These results provide the choice of investing portfolio or hedging tools for popular investors and the corporation.
The real result discovered, When Taiwan weighting stock price index in falling tendency, Operates the TXO conversion strategy (sell call and buy put) and sell the MTX that effect of avoiding system risk by holding Taiwan 50 index fund is better, Besides, When Taiwan weighting stock price index in rising or shaking tendency, both are operates the TXO sell call out-of-price 300 point contract is better.
This research expect the Taiwan stock market as the example, referred the foundation of actual calculation the hedge break-even for popular investors and the corporation that choice the portfolio or hedge trading strategies.
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