台灣證券交易所於2008年6月推出指數股票型基金(exchange traded funds,簡稱ETF)之流動量提供者(liquidity provider,簡稱LP)制度,藉由協助提供買賣報價以加強市場流通性。由於LP券商須隨時滿足投資人買賣交易之需求,為此建立之ETF部位將面臨市場風險,因而提高避險動機。據此,本研究選擇以台灣ETF為研究對象,探討LP券商之最適避險策略。樣本外之研究結果顯示,不論以變異數法、風險值法或確定等值法衡量績效,台灣ETF皆顯示OLS避險效果優於GARCH動態避險模型,其中又以靜態OLS避險優於rolling OLS之避險效果。為瞭解市場波動高低對避險績效之影響,本研究進一步以歐債危機及金融海嘯事件將樣本外區分成兩個子樣本。初步結果指出以rolling OLS模型估算之最適避險比率於波動高期間略高於波動低期間,且不論樣本波動大小皆以OLS模型避險績效最佳,rolling OLS表現次之。
The Taiwan Stock Exchange issued the Exchange traded funds (ETF) liquidity provider (LP) system in June 2008 to strengthen the liquidity of market. They must hold the ETF for satisfying the transaction demand for investors, thus facing to the market risk and increasing the hedging motivation. For this reason, this article researches the hedging performance for Taiwanese ETFs. The out-of-sample results show that whatever the measurement method is the variance, the Value at Risk (VaR), or the Certainty Equivalent (CE), the OLS hedging outperform dynamic GARCH hedging strategies, in which that the static hedging strategy is better than rolling OLS hedging. In addition, this study also divides the out-of-sample into two sub-samples depending on the European debt crisis and Financial crisis, respectively. The results indicate that the hedge ratio that is computed by the rolling OLS model in the high volatility period is higher than in the low volatility period. No matter how large the sample volatility, it is found that the static OLS hedging performance is the best, and the rolling OLS hedging performance followed.