指數期貨避險效率之比較：台灣與新加坡指數期貨市場之實證

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蔣自強(Tzu-Chiang Chiang) 查詢紙本館藏

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財務金融學系

論文名稱

指數期貨避險效率之比較：台灣與新加坡指數期貨市場之實證
(Hedging Effectiveness Comparison: Evidence From Taiwan and Singapore Index Futures Market)

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摘要(中)

摘要
本論文主要探討摩台指期貨與台指期貨避險效率的比較，實證上發現摩台指期貨市場因台指期貨推出，進而促進市場深化，避險效率逐漸增加，此外，亦發現在實證期間台指期貨的避險效率較摩台指為佳；若考慮降稅的效果，發現雖然降低交易稅可以提高交易量，促進交易意願，但不影響避險效率；另外，實證發現估計期的長短並不影響避險的效率，而避險效率似乎隨避險期間增加而提高。

摘要(英)

Abstract
This paper compared the hedging effectiveness of index futures traded in TAIFEX and SGXTW traded in SGX. First the hedging effectiveness of TAIEX value weighted index hedged with SGXTW before and after FITX offered by TAIFEX was compared. Second, the hedging effectiveness of TAIEX value weighted index hedged with SGXTW and FITX were compared. The possible reasons that FITX outperformed SGXTW may be due to the contract specification and local market advantages. Third, the impact to hedging effectiveness of trading- tax-reduction was also compared. It seems no impact due to the reduction. The result was similar to the finding in 2000 by Kavussanos and Nomikos. Forth, the relation between estimation period and hedge period was discussed. The hedging effectiveness does not appear to be related to estimation period length and tends to increased as the hedging horizon increased.

關鍵字(中)

★ 避險
★ 效率

關鍵字(英)

★ effectiveness
★ hedge

論文目次

Contents
1. Introduction…………………………………………………………………….1
2. A brief introduction of markets……………………………………………….2
3. Motivation of the research……………………………………………………..3
4. Related Research………………………………………………………………..4
5. Data and Method……………………………………………………………….11
6. Result……………………………………………………………………………15
7. Conclusion……………………………………………………………………...23
8. Reference……………………………………………………………………….24
9. Appendix………………………………………………………………………..27

參考文獻

References:
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指導教授

張森林(San-Lin Chung)

審核日期

2002-7-17

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