南華大學機構典藏系統:Item 987654321/29408
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    Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/29408


    Title: 隨時間變動之股價指數期貨避險比率：全球市場之證據
    Other Titles: The Investigation in Time Varying Hedging Ratio of Stock Index Futures: Global Markets Evidence
    Authors: 廖永熙;林福坤
    Liau, Yung-Shi;Lin, Fu-Kun
    Contributors: 南華大學財務金融學系;南華大學財務金融學系
    Department of Finance, Nanhua University;Department of Finance, Nanhua University
    Keywords: 避險比率;金融危機;波動不對稱;到期日;ADCC-TGARCH模型
    hedge ratio;financial crisis;volatility asymmetry;maturity date;ADCC-TGARCH model
    Date: 2021-06-01
    Issue Date: 2022-12-21 10:48:25 (UTC+8)
    Publisher: 南華大學企業管理學系
    Abstract: 本文使用雙變量ADCC-TGARCH探討全球市場的期貨與現貨隨時間變動的避險比率及市場是否會受到金融危機等外在因素而影響避險比率的變動。本研究期間在2000年1月3日至2013年3月29日，並以網路泡沫、金融危機及歐債危機等期間加入探討。實證結果發現，在全球市場中現貨波動持續性的平均比期貨波動持續性平均來的大，且現貨與期貨皆存在波動不對稱現象。然而，避險比率愈接近到期日的時候，除了香港及南韓越接近到期日有影響之外，其餘的國家並無影響。最後，發生金融危機時，是否會影響避險比率變動，結果顯示顯著為正的國家有德國、義大利、日本、南韓及馬來西亞避險比率是增加的。
    This article uses bivariate model of ADCC-TGARCH to investigate the time-varying hedge ratio for global market and also examine whether the hedge ratio is influenced by external factors such as financial crisis. The study period is from January 3, 2000 to March 29, 2014, and added internet bubble, subprime financial crisis and the debt crisis in Europe into discussion. It has been proved that the average volatility persistence of spot is larger than future, and both of them showing volatility asymmetry. However, while the hedge ratio is close to the maturity date, HK and South Korea is significant, other countries have shown no influence. Finally, when the financial crisis happens, the result illustrates a significant positive effect on Germany, Italy, Japan, South Korea and Malaysia for the hedge ratio.
    Relation: 管理科學研究
    15卷1期
    Appears in Collections:[The Journals of Nanhua University ] Management Sciences Research
    [Department of Business Administration, Master/Ph.D Program in Management Sciences] Management Sciences Research

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