外匯避險策略之研究-以新台幣兌美元為例; An Investigation of Currency Hedging Strategies-Evidence from NTD/USD exchange rate

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/12191

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12191

Title:	外匯避險策略之研究-以新台幣兌美元為例;An Investigation of Currency Hedging Strategies-Evidence from NTD/USD exchange rate
Authors:	路宛諭;Wan-yu Lu
Contributors:	財務金融研究所
Keywords:	避險策略;外匯;hedging strategy;currency
Date:	2007-07-09
Issue Date:	2009-09-22 14:41:39 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究是分別站在本國企業以及本國投資人投資美國股市的角度，引入遠期外匯契約作為規避外匯風險之工具，同時採用五種避險策略：移動平均法避險、完全避險、50%比例避險、選擇性避險、最適避險，觀察這些策略下的避險績效，希望找到最有利於國人的外匯避險策略。本研究最後一個部分將探討三家投資銀行-UBS、CITI、MORGAN STANLEY(MS)所提出之匯率預測進行研究分析，驗證在選擇性策略下，使用外資銀行所提供之額外的預測訊息下，能否優於傳統的選擇性避險策略，進行討論。實證結果顯示，站在企業進行外匯避險的角度，發現無論是三個月或六個月外匯風險期間，完全避險策略下的平均外匯成本最低，而未避險的成本卻是所有策略中成本最高的一種策略;從風險極小化考量，可發現選擇性避險所能降低的「外匯成本變異數百分比」最大，因此若是只單獨考量降低投資人所需承擔的風險，選擇性避險策略效果最佳。站在投資人投資美國股票市場避險的角度，可以發現進行完全避險策略，的確可以降低標準差，但報酬率同時也會下降;在同時考量報酬與風險的情況下可發現，儘管50%避險已是四種策略中表現最佳的，其單位風險報酬低於未避險。若從風險極小化的觀點去衡量避險績效，完全險所能降低的「報酬率變異數的百分比」最大，其次是最適避險。在情境三中以本國投資人取得外資機構匯率預測資訊下，進行選擇性避險，結果顯示在新台幣兌美元匯率方面，使用目前的即期匯率對未來即期匯率所作之預測，均比使用外資機構所作之預測為佳。 In this paper, we stand in point of view of Taiwan Corporation and investors to investigate the efficiency of five strategies for hedging foreign exchange risk. The strategies are-full hedge, proportional hedge, selective hedge, optimal hedge, and moving average hedge. The last part of research we would prove under selective strategy use extra prediction information whether could be superior to the traditional alternative. We find that from the angle of corporation, full hedge performs best but its risk is higher. Selective strategy has lowest risk. Different hedging policies can be implemented according to how much risk corporation is willing to bear. From the angle of investor, account for return and risk in the same time, un-hedge strategy outperforms all the hedging strategies. Full hedge strategy could reduce risk more than any other strategy. Under having prediction information we precede selective strategy, and the result illustrates using spot exchange rate to predict future spot exchange rate is better than using predictors from internal investing bank of evidence from NTD/USD exchange rate.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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