The Research of Hedge Effectiveness between Four Types of Index Futures in Taiwan by Using OLS Model

• Main Authors: Jun-Jie Huang, 黃俊傑
• Other Authors: Mao-Wei Hong
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/61180399025946507557

碩士 === 國立臺灣大學 === 國際企業學研究所 === 104 === For most investors in Taiwan, the current main investment market is stock market. When investors obtain numerous positions in the stock market, they may set up reverse positions in future markets to hedge the positions in the spot market. This thesis proposes four different performance indicators, which are HER, HEV, HERV and Sharpe Ratio to compare hedge effectiveness between four types of future contracts, including TX, TE, TF and SIMEX. The author uses Ordinary Least Squares model to estimate the optimal hedge ratio with four different data periods, which are one day, five days, ten days and twenty days respectively, and calculates the rate of return of the portfolio after hedging. The author collects TAIEX, TX, TE, TF and SIMEX daily closing price from January 4, 2010 to April 30, 2015, a total of 1317 days, and uses a logarithmic transformation to convert the daily closing price into rate of return with four different data periods. Then, the author adopts Augmented Dickey-Fuller test and Phillips-Perron test to determine whether the rate of return data is stationary or not, if the data is not stationary, it should be modified by first-order differential process and transforms into stationary data. The research shows four results as following. First of all, if investors tend to minimize their portfolio risks, they should choose TX future contracts and use HEV as their hedge performance indicators, moreover, if investors want to maximize their profits, they should choose SIMEX future contracts and use HER as their hedge performance indicator, next, if investors want to balance between risks and profits, they should choose TX and TE future contracts and use HERV as their hedge performance indicator. Last but not least, investors can choose TE and SIMEX future contracts if they use Sharpe Ratio as their hedge performance indicator.