台灣五十指數基金與小型台指期、選擇權避險交易策略研究

本研究以台指選擇權的空方交易策略與作空小型台指期來規避持有台灣五十指數基金的系統風險，取樣時間自2004年1月28日至2007年12月20日，共計四年的月資料，以每月新倉日的各商品收盤價當作台灣五十指數基金及各模擬策略的持有成本，並以小型台指期與選擇權結算價與結算當日台灣五十指數基金的收盤價計算損益，以實際數字比較其避險效果，以提供投資大眾或法人在避險工具上的選擇。實證結果發現，加權股價指數在下跌盤勢時，持有台灣五十指數基金後以台指選擇權的轉換策略(賣出買權+買進賣權)所組合的期貨空單或是直接以小型台指期放空來進行避險，其效果最好，而指數在上漲盤勢或每月盤整的振幅在上或下3.5%時，則皆是以賣出買權價外300點合約進行避險效果最好。本研究希望以台灣市場為例，透過實際計算損益為基礎，給一般投資大眾或法人機構在選取投資組合與避險工具上的參考。

關鍵字

台灣五十指數基金；賣出買權；買進賣權；賣出買權+買進賣權

並列摘要

This research refers to the TXO (Taiwan index options) short side transaction strategies and sell the MTX (Mini Taiwan stock index futures) to avoid the system risk of holding the Taiwan 50 index fund. The sample periods from January 28, 2004 to December 20, 2007, the month materials of total four years, treat as the Taiwan 50 index funds and each simulation strategies by the cost of each month new warehouse date of various commodities closing price , and refers to the MTX and TXO settlement price and the same day of the Taiwan 50 index fund closing price computation profit and loss, According to actual numeral compares TXO with MTX to avoid the system risk effect for holding Taiwan 50 index funds, These results provide the choice of investing portfolio or hedging tools for popular investors and the corporation. The real result discovered, When Taiwan weighting stock price index in falling tendency, Operates the TXO conversion strategy (sell call and buy put) and sell the MTX that effect of avoiding system risk by holding Taiwan 50 index fund is better, Besides, When Taiwan weighting stock price index in rising or shaking tendency, both are operates the TXO sell call out-of-price 300 point contract is better. This research expect the Taiwan stock market as the example, referred the foundation of actual calculation the hedge break-even for popular investors and the corporation that choice the portfolio or hedge trading strategies.

並列關鍵字

The Taiwan 50 index funds ； Sell Call ； Buy put ； Sell Call and Buy put ； MTX ； GLM

參考文獻

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台灣五十指數基金與小型台指期、選擇權避險交易策略研究

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