KD及MACD在避險時機之應用：以台指期貨避險為例

Application of KD and MACD in the Timing of Hedging: Evidence from the Hedging of TAIEX Futures

許溪南(Hsi-Nan Hsu) ； 何怡滿(Emily Ho) ； 劉泰山(Tai-Shan Liu)

《東吳經濟商學學報》 72期 (2011/03) Pp. 109-138

https://doi.org/10.29735/SJEB.201103.0004

摘要

過去的避險文獻大多著重於最適避險比率之衡量及避險績效之比較，然而，一個成功的避險必須包含避險時機、避險工具及避險比率等三部分，尤其避險時機之選擇極為重要，卻鮮少有文獻著墨。本文提出之修正權變避險模式即包含這三部分，讓現貨避險者有一完整的參考。本文之主要目的為應用KD及MACD技術指標於避險時機之選擇，並以週及月資料計算KD及MACD，藉以改善日資料計算指標值，易造成進出頻繁，不適於法人操作的缺點。本研究以台灣加權股價指數視為現貨組合，並以台灣加權股價指數期貨之近月、次月及遠月份合約作為避險工具。研究結果顯示，無論是否考慮交易成本，改良後的權變避險模式之報酬率都遠大於買進持有策略，而且以週資料計算KD及MACD之績效優於月資料。修正後的權變避險模式易於執行，對避險實務提供一個具體可行的策略，不僅適用於避險者亦適用於投資人。

關鍵字

避險時機 ； 權變避險模式 ； 技術指標 ； KD & MACD

並列摘要

Most of the previous empirical literature on hedging focused on the estimation of hedge ratios and the comparison of hedging performance. However, a successful hedge must include three important elements: hedging timing, hedging instruments, and the optimal hedge ratio. In particular, the choice of the hedging timing is extremely important but is rarely discussed in the literature. In this study, a modified contingent hedging model containing the three parts will provide a complete and useful reference for hedgers. The purpose of this paper is to apply the KD & MACD technical indices in the timing of hedging. Weekly and monthly price data are used to calculate the values of KD & MACD to improve the shortcoming of frequent trading, resulting from using daily data, which is not suitable for institutional investors. In this study, the TAIEX is used as a well-diversified portfolio to be hedged, and the TAIEX futures contracts are used as the hedging instruments. The empirical results show that the KD & MACD combination using both weekly and monthly data to determine the hedging timing greatly outperforms the buy-and-hold strategy no matter whether transaction costs are included or not. Furthermore, KD & MACD values calculated using weekly data outperform those by using monthly data. The modified contingent hedging model with the merit of easy implementation is valuable for the hedging and investment practice.

並列關鍵字

Hedging Timing ； Contingent Hedging Model ； Technical Indexes ； KD & MACD

參考文獻

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