權變避險模式在台灣股市之應用

Application of Contingent Hedging Model in the Taiwan Stock Market

10.6295/TAMJ.2009.0901.02

許溪南(His-Nan Hsu)；何怡滿(Emily Ho)；劉玉琦(Yu-Chi Liu)

權變避險模式 ； 濾嘴法則 ； 避險績效 ； contingent hedging model ； filter rule ； hedging performance

台灣管理學刊

9卷1期（2009 / 02 / 01）

23 - 46

繁體中文

過去對於利用期貨交易來規避價格變動風險的相關文獻，大多著重於以不同估計模型求出最適避險比率，或者對其避險績效進行比較。然而，即使是一個優良的避險模型，也必須在適當的時機進場，才能有最佳的避險績效。因此，本文對於避險的課題提出一個全面性考量的策略模式，稱之為權變避險模式，該模式包含避險時機與避險工具的選擇兩部分。本文以台灣股市為研究對象，探討使用權變避險模式進行避險的績效。研究結果顯示，普遍來說，權變避險模式的避險績效優於全面避險模式。權變避險模式兼具傳統避險理論（風險消除）與選擇性避險理論（利潤極大化）的優點，因此，本文所提出之權變避險模式不僅在避險理論方面具有創見，且對於避險實務亦提供一個具體可行的方法。

Previous literature on hedging focused on the calculation of the optimal hedge ratios under different models, or the comparison of the hedging performance among different models. Without consideration of suitable hedging timing, the hedging may not be the most effective. In this study, an integrated hedging strategy model, called the contingent hedging model, which includes the selections of hedging timing and hedging instruments, is recommended. This study uses the data of Taiwan stock market to investigate the effectiveness of the contingent hedging model. Results indicate that the hedging performance of contingent hedging model is better than that of overall hedging model. The contingent hedging model owns the merits of both the traditional hedging theory (risk elimination) and selective hedging theory (profit maximization). Thus, the contingent hedging model is not only an innovation in hedging theory, but also provides a feasible solution to hedging practice.

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