對沖基金、管理期貨基金與股價指數之動態關係探討

近年來對沖基金(Hedge Fund)與管理期貨基金(Managed Futures Fund)資產的蓬勃發展及可觀的獲利，讓國際投資者日益重視，並逐年增加投資比例於資產配置。本研究利用Johansen共整合檢定方法、門檻自我迴歸共整合檢定、動差門檻自我迴歸共整合檢定與門檻誤差修正模型，分析對沖基金、管理期貨基金與股價指數變數間長短期的非對稱之因果關係。以期對投資者之投資組合配置能具良性的選擇，並提昇投資之報酬效果。研究結果發現，對沖基金、管理期貨基金與股價指數，在長期下彼此間具有共整合關係，皆為非對稱的調整型態，能捕捉到長短期的互動情形。其次，在長期均衡時，管理期貨基金會同時領先美股S&P500股價與對沖基金指數，居市場領先主導地位。此外，管理期貨基金指數、對沖基金指數與美股S&P500股價指數皆具有不對稱之長期均衡關係。表示此三者的報酬偏離長期均衡時，會自動回復均衡狀態。藉由了解訊息不對稱的影響，有助於投資者判斷金融市場之風險性資產的風險偏好程度。

關鍵字

門檻誤差修正模型；對沖基金；管理期貨基金；共整合

並列摘要

With increasing profitability, the rapid development of hedge funds and managed fu-tures fund development of have attracted international investors to gradually in- crease their investment in recent years. This thesis uses Johansen cointegration test, threshold autore-gressive cointegration test, threshold autoregression, momentum- threshold autoregression, and threshold error correction model to analyze the short- and long-term non-symmerty of the causal relationship among hedge funds, managed futures funds and stock index. To im-prove the investment return, the investment portfolio can be configured with the right selec-tion. The results showed that hedge funds, managed futures funds and stock index have long-term cointegration relationship among each other. The non-symmetrical patterns can capture the adjustment of long-term interactions. Next, in the long run equilibrium, the performance of managed futures fund has the leading position which is superior to S&P 500 stock index and hedge funds. In addition, there existed the leverage effects for man-aged futures funds index, hedge funds and S&P 500 stock index, suggested that returns de-viated from the long-run equilibrium will automatically restore. Understanding the impact of asymmetric information will help investors to determine the risk perference of risk se-curities in financial markets.

並列關鍵字

Managed Futures Fund ； Hedge Fund ； Cointegration ； Threshold Error Correction Model

參考文獻

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2.陳秋玲(2008)，「道瓊工業指數與美元兌日匯率關聯性之研究」，淡江大學財務金融學系研究所碩士在職專班論文。

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對沖基金、管理期貨基金與股價指數之動態關係探討

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