外匯避險模型下之避險績效評估

Evaluating Hedging Effectiveness under Two Models

黃富纖(Fu-Hsien Huang)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.03057

摘要

本研究使用最小變異模型及夏普比率模型來評估避險績效，使用的避險策略包括完全避險、模型最適避險及選擇性避險，探討投資人使用遠期外匯契約規避美元兌台幣風險時，何種策略可以減少較多的風險，或是能夠增進單位風險下的報酬。研究中使用一個月的遠期外匯契約作避險，整個樣本期間分為四個子期間，以進行樣本外的測試。實證結果發現，使用最小變異模型評估之下，避險後可以有效減少外匯風險，且完全避險及模型最適避險較選擇性避險有效；使用夏普比率模型評估之下，除了選擇性避險，其它策略皆不能改進避險後投資組合的夏普比率；匯率的走勢會影響未避險部位的報酬，但是對避險績效沒有太大的影響。

關鍵字

外匯避險 ； 避險績效 ； 最小變異模型 ； 夏普比率模型 ； 避險策略

並列摘要

This article uses two models to evaluate hedging effectiveness for different hedging strategies. The models are the minimum-variance model and the Sharpe-ratio model. The hedging strategies are full hedge, model-based hedge, and selective hedge. Moreover, the overall period is divided into four subperiods, and the out-of-sample test is used. The results for the hedging effectiveness of minimum-variance model show that hedging by using forwards contracts can really reduces foreign exchange risk. Using selective hedge is less effective than using model-based hedge and naive hedge. From the results for the hedging effectiveness of the Sharpe-ratio model, using foreign exchange forwards to hedge is not able to improve the risk-return performance in general.

並列關鍵字

currency hedge ； hedging effectiveness ； minimum-variance model ； Sharpe-ratio model ； hedging strategy

參考文獻

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