| Summary: | 碩士 === 東海大學 === 財務金融學系碩士在職專班 === 100 === To make the stock portfolio will not suffer huge losses in the broader stock index fell , and the value of its investment portfolio to maintain stability . Therefore, this study has a basket of equity portfolio investment , for fear fell taken short hedging strategy to sell stock index does not consider transaction costs, exchange rate risk, the transaction limit on the number respectively to explore the use of the Taiwan stock index futures ( TX ), Taiwan index options ( TXO ) to circumvent the risk of a single stock system , hedge length of the period of two kinds in use day , week, etc. , the use of different beta estimation model to find the optimal hedge ratio , and compare hedge before and after the standard deviation the size and the choice of the hedging period . The empirical results show the better of the portfolio hedge ratio of the standard deviation of minimum variance , and TAIEX options hedge standard deviation of the poor , showing the introduction of the futures and spot -linked higher , as a portfolio hedge The tools can be effective to reduce systemic risk . In addition , in terms of hedging performance of hedge performance using daily returns better than the hedging performance of the weekly return . Therefore , this study confirmed that the performance is better than a simple hedge with minimum risk hedge ratio method , and simple hedge will is better than not hedging .
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