The Research of Hedging Strategies for TTT

• Main Authors: Hsiao-Ping Lai, 賴曉萍
• Other Authors: Ming-Chih Lee
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/95500814575548960427

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === Abstract： This paper considers hedge and basis simultaneously to investigate Polaris Taiwan Top 50 Tracker Fund(TTT) and TAIFEX Stock Index futures, and we compare which is appropriate to hedge the TSEC Taiwan 50 Index. It compares the hedging effectiveness in traditional OLS model, univariate GARCH, bivariate GARCH model and VAR model. The main empirical results are as follows, we find the significance of unit roots and thus the non-stationary of the price series, so price series should be differenced to induce stationary. The bivariate GARCH model outperforms all other hedging models , and TAIFEX Stock Index futures is the better instrument to hedge the TTT. However, the TAIFEX and TTT the variance gap is not large, and TAIFEX transactions more difficult then ETF. Therefore, by the empirical results of this study and practical understanding of market operations, ETF is an alternative can be used as hedging tools.