The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX
碩士 === 國立中興大學 === 企業管理學系 === 87 === The introduction of TAIMEX futures and SIMEX futures has provided a new hedge tool for investors of Taiwan Stock Market.The key point of this paper is to discuss how to use them efficiently. The period of this paper is from July 22,1998 to March 20,1999...
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ndltd-TW-087NCHU01210702016-02-03T04:32:45Z http://ndltd.ncl.edu.tw/handle/45624524078389168176 The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX 期貨契約避險比率研究及績效分析--以SIMEX及TAIMEX為例 Shao-yi Huang 黃紹儀 碩士 國立中興大學 企業管理學系 87 The introduction of TAIMEX futures and SIMEX futures has provided a new hedge tool for investors of Taiwan Stock Market.The key point of this paper is to discuss how to use them efficiently. The period of this paper is from July 22,1998 to March 20,1999.We apply fore modles:NAIVE,Garch,OLS,and TF ARIMA. The results are as followed. 1.The time series of SIMEX and TAIMEX are not stationary.They are integrated of order 1. 2.According to the in-sample hedging effects results,the OLS is outstanding. 3.TAIMEX futures is a better hedge tool. Wu Ray San 吳瑞山 學位論文 ; thesis 70 zh-TW |
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NDLTD |
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zh-TW |
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NDLTD |
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碩士 === 國立中興大學 === 企業管理學系 === 87 === The introduction of TAIMEX futures and SIMEX futures has provided a new hedge tool for investors of Taiwan Stock Market.The key point of this paper is to discuss how to use them efficiently.
The period of this paper is from July 22,1998 to March 20,1999.We apply fore modles:NAIVE,Garch,OLS,and TF ARIMA.
The results are as followed.
1.The time series of SIMEX and TAIMEX are not stationary.They are integrated of order 1.
2.According to the in-sample hedging effects results,the OLS is outstanding.
3.TAIMEX futures is a better hedge tool.
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| author2 |
Wu Ray San |
| author_facet |
Wu Ray San Shao-yi Huang 黃紹儀 |
| author |
Shao-yi Huang 黃紹儀 |
| spellingShingle |
Shao-yi Huang 黃紹儀 The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX |
| author_sort |
Shao-yi Huang |
| title |
The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX |
| title_short |
The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX |
| title_full |
The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX |
| title_fullStr |
The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX |
| title_full_unstemmed |
The Research of the hedge ratio and performance of stock index future --with SIMEX and TAIMEX |
| title_sort |
research of the hedge ratio and performance of stock index future --with simex and taimex |
| url |
http://ndltd.ncl.edu.tw/handle/45624524078389168176 |
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