The Studies of Hedging Strategies In Taiwan Stock Market

• Main Authors: Shih, Xuantung, 施璿東
• Other Authors: Luo Wuchang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/05265906618429999727

碩士 === 中國文化大學 === 國際企業管理研究所 === 99 === In recent years the public demand for safe-haven commodities rising, the research for hedge gradually increased. The previous literature on the Taiwan stock market hedge ratio only a single tool to be explored or the lack of comprehensiveness of the comparison. And a successful hedge must contain the hedge timing, hedge instruments and hedge ratio of three parts. In this paper, the application of MA, MTM and MACD, the long-term technical indicators opportunity in the choice of hedging, hedge ratio part of the compares GARCH method, OLS method and the naive hedge method to improve access on information likely to cause frequent problems. In this study, Taiwan's Weighted Price Index as a stock portfolio, and the Taiwan 50 Index to replace part of beneficiary certificates, and the TAIEX Taiwan Stock Index futures options as hedging tools. The results showed that, regardless of whether to consider transaction costs, timing hedge returns are much larger than the full hedge strategy, and the hedge ratio, timing hedging method in the futures, the naive hedge method is superior to other methods , timing right in the choice of hedging method, GARCH hedge method is superior to other methods, completely hedging method, either futures or options, OLS hedge method are superior to other methods. This hedge is to provide research for hedge a specific practical and feasible strategy.