An Empirical Comparsion of Hedging Performance for the Index Exchange Traded Funds in Taiwan

• Main Authors: Chen, Wan-Ting, 陳琬婷
• Other Authors: Lai, Yu-Sheng
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/11748992243315021976

碩士 === 國立暨南國際大學 === 財務金融學系 === 101 === The Taiwan Stock Exchange issued the Exchange traded funds (ETF) liquidity provider (LP) system in June 2008 to strengthen the liquidity of market. They must hold the ETF for satisfying the transaction demand for investors, thus facing to the market risk and increasing the hedging motivation. For this reason, this article researches the hedging performance for Taiwanese ETFs. The out-of-sample results show that whatever the measurement method is the variance, the Value at Risk (VaR), or the Certainty Equivalent (CE), the OLS hedging outperform dynamic GARCH hedging strategies, in which that the static hedging strategy is better than rolling OLS hedging. In addition, this study also divides the out-of-sample into two sub-samples depending on the European debt crisis and Financial crisis, respectively. The results indicate that the hedge ratio that is computed by the rolling OLS model in the high volatility period is higher than in the low volatility period. No matter how large the sample volatility, it is found that the static OLS hedging performance is the best, and the rolling OLS hedging performance followed.