外匯期貨最適避險比例之實證研究

The Empirical Research of the Optimal Hedging Ratio of Foreign Currency Futures

康信鴻(Hsin-Hong Kang) ； 繆俊華(Jun-Hwa Miao)

《管理學報》 15卷3期 (1998/09) Pp. 419-453

https://doi.org/10.6504/JOM.1998.15.03.04

摘要

由於全球金融服務業市場的成長及金融環境的多變，在多樣化的金融商品中，最常為企業使用的避險工具主要為期貨避險。因此本研究之主要目的在於探討各種期貨避險策略中，何者具有比較好的避險效果。
本研究實證方法是採用最小變異數避險模式，並針對異質變異數與自我相關的問題做檢測及修正。實證對象以英鎊、馬克、法郎及日圓之匯率為主，實證期間取1990年1月至1991年12月之日資料。至於本研究時正結果主要有：
1. 對於利用外匯期貨市場避險，大致而言使用Cochranc Orcutt或ARIMA模型所估計的避險比例，所獲得的績效最好。而且，採用日圓與瑞士法郎等期貨時，當避險期間比較長時，應該優先考慮ARIMA模型；反之則使用Cochrane Orcutt反覆法來估計。
2. 在避險期間的長度方面，我們發現，要利用外匯期貨這類衍生性金融商品來避險時，應該對短期的避險操作上比較有效。
3. 無論外匯現貨的走勢如何，採取避險可以減低原本承受的風險至相當程度。
4. 不同期貨所得到的績效雖然不完全一致，但是避險策略的效果確實是存在。

關鍵字

外匯期貨 ； 最適避險比例 ； 最小變異數避險模式 ； 變異數不齊一檢定 ； 自我相關檢定

並列摘要

Due to the growth of the global finance-service market and this rapid-changing financial environment and varied financial products, it is usual for enterprises to adapt the hedging strategies using futures. The objective of this research is to discuss the selection of the best hedging strategy. The empirical model adapted by this research is the minimum variance hedging model with appropriate tests for autocorrelation and heteroskedasticity. This empirical research uses Pounds sterling, Deutsche mark, France franc, and Japanese Yen as currencies of consideration, limits the research period from Jan., 1990 to Dec., 1991. Major conclusions of this empirical research are:
1. Concerning the hedging strategy using foreign futures, it is usual that results are the best when using the predicted hedging ratio of the Cochrane Orcutt or ARIMA model.
2. Concerning the hedging strategy using derivatives such as exchange rate, it was discovered that the short-period hedging strategy shows better results.
3. Independent the trend of the foreign exchange market, the use of the hedging strategies can reduce the original risk to a significant proportion.
4. Although results from different currencies are not totally consistent, effects of hedging methods do really exist.

並列關鍵字

foreign currency future ； optimal hedging ratio ； minimum variance hedging model ； test for autocorrelation ； test for heteroskedasticity

參考文獻

Anderson, R. Wand,Danthine, J. P.(1981).Cross-hedging.The Journal of Political Economy.89

Cheung, C. Sherman,Kwan, Clarence C. Y.,Yip, Patrick C. Y.(1990).The hedging effectiveness of options and futures: A Mean-Gini approach.The Journal of Futures Markets.10

Dale, C.(1981).The hedging effectiveness of currency futures market.The Journal of Futures Markets.1

Ederington, L.(1979).The hedging performance of the new futures markets.The Journal of finance.34

Herbst, A. F.,Kare, D. D.,Caples, S. C.(1989).Hedging effectiveness and minimum risk hedge ratio in the presence of autocorrelation: foreign currency futures.The Journal of Futures Markets.9