| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 102 === With the flourishing global capital market and financial instruments, the choice of market participants to the securities of portfolios becomes diversified, especially on metals securities: the commodities of gold, silver, and bronze, etc. Those are often invested and led by the requirements of asset allocation. Therefore, the establishment of hedging strategies will be the issue while investors are proceeding the investment of spot commodity, which affects investment performance and certain level of risk. In this case, the ignorance of changes in the spot market inventory will be afraid to carry serious loss to hedging according to this theory. As a result, the purpose of investors’ risk avoidance will be the main leading in this theory, adopting spot commodity of gold, silver, bronze, and other spot commodity to calculate hedging performance of commodities futures, to compare hedging performance by the model brought into stock effect and basis conditions.
Different from previous references, the theory also adopts Goldman Sachs Commodity Index(GSCI) as detected object. The index contains spot performance on not only precious and industrial metals commodities, but also energy and agricultural and products, which is the real diversity of investors to merchandise investment. Accordingly, studied objects and sample periods of the theory cover stock index and futures index of GSCI and metals of gold, silver, and bronze during the period of 1 Jan, 2001 to 30 Dec, 2013, and estimate the model of DCC-GARCH and GARCH. That will provide more detailed reference information to investors who undergo the structure of risk avoidance, by the concern of asymmetric effect on different stock effect and basis conditions.
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