動態投資組合避險的非對稱效果與基差效果

Dynamic Portfolio Hedging under Asymmetric and Basis Effects

劉佳誠(Chia-Cheng Liu)

指導教授 ： 李享泰

國立暨南國際大學/管理學院/財務金融學系/碩士(2008年)

https://doi.org/10.6837/NCNU.2008.00349

摘要

本文研究投資組合效果與動態效果對於投資組合避險是否有效。使用BEKK-GARCH (Baba-Engle-Kraft-Kroner)作為動態共變異結構的模型以計算最小變異避險比率。同時，也在文章中加入非對稱性與基差對於避險效果的研究。使用的商品包含倫敦金屬交易所內交易的六種金屬商品。結果顯示，投資組合避險在所有的實例中均優於分別避險。加入非對稱效果後無法繼續增加避險有效性。而基差效果的加入則可以明顯的提升避險的有效性。

關鍵字

BEKK-GARCH；動態避險；投資組合效果；不對稱效果；基差效果

並列摘要

This paper investigates the portfolio effect and the dynamic effect of portfolio hedging effectiveness. BEKK-GARCH (Baba-Engle-Kraft-Kroner) is used to model the dynamic covariance structure to calculate the minimum variance hedge ratios. The effects of asymmetries and basis are also investigated. Six metal commodities traded in the London Metal Exchange are used. Results show that portfolio hedging is superior to separate hedging for all cases. The asymmetry effect can’t increase hedging effectiveness. After adding the basis effect, hedging effectiveness is improved obviously.

並列關鍵字

BEKK-GARCH ； Dynamic Hedging ； Portfolio effect ； Asymmetric effect

參考文獻

參考文獻

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