商品存貨與基差之非對稱效應對於避險績效之影響

The Asymmetric Effect of Commodity Inventory and Contents of Basis on Hedging Performance

呂嘉新(Chia-Hsin Lue)

指導教授 ： 邱建良 ； 洪瑞成

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.01081

摘要

隨著全球資本市場與金融商品蓬勃發展，市場參與者對於投資組合組合成份證券的選擇更為多元化，特別是金屬類有價證券如金、銀與銅等商品，時常被投資人作為主要投資的對象，且投資目的不外乎於資產配置需求所引導。因此，當投資人在進行商品類現貨投資時，避險策略的建置將是不容忽視的問題，不僅影響投資績效，亦對風險承擔程度產生巨大的影響。職之是故，本論文認為當忽略現貨市場存貨效應變化時，恐將影響避險績效及造成嚴重損失，因此在這篇文章中，本論文茲以投資人避險目的為導向，採以金、銀與銅等現貨商品進行期貨商品之避險績效估計，並於模型中納入存貨效應與基差之不對稱效應進行避險績效比較。
　　有別於過去文獻，本論文亦採用高盛商品指數(Goldman Sachs Commodity Index, GSCI)作為檢測對象，該指數不僅包含貴金屬與工業金屬現貨商品表現外，亦包含能源產品與農產品等項目，實為涵蓋投資人對於商品投資的多元性，據此論述，本論文研究對象與樣本期間擷取2001年1月1日至2013年12月30日間之金、銀、銅與GSCI現貨指數及期貨指數，進行GARCH模型與DCC-GARCH模型估計，希冀透過不同存貨效應與基差因素之非對稱性變化之考量，提供投資人在進行避險策略建構時，能有更加完整之參考資訊。

關鍵字

存貨效應 ； 避險績效 ； 高盛商品指數 ； DCC-GARCH模型

並列摘要

With the flourishing global capital market and financial instruments, the choice of market participants to the securities of portfolios becomes diversified, especially on metals securities: the commodities of gold, silver, and bronze, etc. Those are often invested and led by the requirements of asset allocation. Therefore, the establishment of hedging strategies will be the issue while investors are proceeding the investment of spot commodity, which affects investment performance and certain level of risk. In this case, the ignorance of changes in the spot market inventory will be afraid to carry serious loss to hedging according to this theory. As a result, the purpose of investors’ risk avoidance will be the main leading in this theory, adopting spot commodity of gold, silver, bronze, and other spot commodity to calculate hedging performance of commodities futures, to compare hedging performance by the model brought into stock effect and basis conditions.
Different from previous references, the theory also adopts Goldman Sachs Commodity Index(GSCI) as detected object. The index contains spot performance on not only precious and industrial metals commodities, but also energy and agricultural and products, which is the real diversity of investors to merchandise investment. Accordingly, studied objects and sample periods of the theory cover stock index and futures index of GSCI and metals of gold, silver, and bronze during the period of 1 Jan, 2001 to 30 Dec, 2013, and estimate the model of DCC-GARCH and GARCH. That will provide more detailed reference information to investors who undergo the structure of risk avoidance, by the concern of asymmetric effect on different stock effect and basis conditions.

並列關鍵字

Stock effect ； Hedging Performance ； GSCI ； DCC-GARCH

參考文獻

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