A Study on the Strategy of Hedging with Stock Option in Taiwan Stock Market

• Main Authors: Ching-yi Wang, 王靜怡
• Other Authors: Shang-Wu Yu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/85191669067136292134

碩士 === 國立臺灣科技大學 === 資訊管理系 === 99 === Stock is the most familiar investment tool to investors, and people put it in the first place to use. But stock option isn’t like stock; so many investors even don’t know how stock option works. In this research, stock option hedging strategy is mentioned to investors, so that investors can realize that no matter in bull or bear market, the hedging strategy always can reduce the risk of investment and stable the return. In this research, three kinds of hedging strategies: include no hedge, all covered hedge, and timing chosen hedging strategy are used, and the timing chosen hedging strategy use GARCH, SSVR and GASVR as prediction models to predict stock behavior and build the hedging position. Through the experiment, the hedging strategies in this research can build the right hedging position with referring the prediction of future stock. The experiment result is about stock option can be used into hedging strategy, and it’s necessary to use a hedging strategy to balance the performance of investment. Three Samples, UMC, Cathay, Chinatrust and AUO stocks are tested for capacity of the model’s prediction. Those stock options are applied into hedging strategy and the result of hedging strategy is evaluated. The empirical results are as follow: 1. In predicting stock prices, artificial intelligence model in prediction error and aspect of prediction is generally superior to time-series model. 2. In all covered hedging strategy, it’s usually in the loss situation, the profit loss rate reach 75%. But in the timing chosen hedging strategies, the winning percentage can reaches 75%. If we ignore the time series model, the winning percentage of artificial intelligence model even reaches 100% 3. In the hedging performance, all covered hedging strategy and timing chosen hedging strategy both have positive hedging capabilities, moreover, through the experiment, the hedging performance of artificial intelligence model is better than the time series model.