期貨市場交叉避險策略分析-以白銀期貨與外匯期貨為例

The Analysis of Cross Hedging Strategy in Futures Markets-A Case of Silver and Currency Futures

謝瑩欣(Ying-Hsin Hsieh)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2011年)

https://doi.org/10.6840/cycu201100744

摘要

近年來受到金融風暴的影響，及接踵而來的通貨膨脹和貨幣波動的危機，使得全球經濟陷入極端不確定時期，連帶造成投資人對各種投資商品都缺乏信心，理財目標也漸漸從「收益」轉向「避險」。其中最常見的避險商品就是期貨。由於貴金屬市場具有避險投資及保值的特性，因而造成過去兩年投資之熱潮，其中價格較低的白銀，過去 2年的價格上漲極多，且到達30年來的新高。由於台灣進口白銀原物料的購入成本除了承受白銀價格的變動外，亦受到匯率波動影響。因此本研究以白銀期貨、遠期外匯及外匯期貨為標的，訂定四種規避風險的策略，採用OLS、GARCH(1,1)及EGARCH(1,1)模型來估算避險比率，並比較不同的策略之避險績效。實證結果歸納如下：
1. 本研究發現採用OLS、GARCH(1,1)及EGARCH(1,1)模型，三者間之避險績效之差異不大。
2. 實證發現採用白銀期貨及美元期貨避險，約可規避八成以上之價格波動風險。若忽略匯率風險，只採用白銀期貨來規避價格風險時，的確會降低避險績效。
3. 本研究亦發現採用新台幣對美元的遠期外匯來避險，有助於提升避險效率。但本研究發現，若僅採用日圓期貨來避險時，不但未能提升避險效率，反而降低避險績效，因此，本研究推論交叉避險之避險績效並不一定會較直接避險為佳。

關鍵字

OLS模型 ； GARCH模型 ； EGARCH模型 ； 避險 ； 交叉避險 ； 白銀期貨 ； 外匯期貨

並列摘要

Hedging has become an important issue in Finance during recent financial crises periods. In particular, silver futures contracts have been gained more and more attention by the investors and companies than before as silver futures provides efficient hedging protection. The price of silver recently hit a 30-year peak because of the drastic increase in silver investment over the past two years. Such increase has a great impact on Taiwan's economy as Taiwan is a major import country of silver. Silver price is also affected by the exchange rate fluctuations between US dollars and New Taiwan dollars.
This study examines the use of various hedging strategies (i.e. foreign exchange (FX) futures, FX forward contracts and silver futures contracts) by employing the OLS, GARCH and EGARCH models to calculate the hedge ratios. This investigation then compares the performance of different hedging strategies. The conclusions are summarized below:
1.Empirical findings indicate that there are little difference among the OLS, GARCH, and EGARCH models in terms of hedging performance.
2.This study finds that the adoption of the silver futures and the US dollars futures contracts can be avoided 80% of the volatility risk in spot price. However, the hedging effect will be decreased if the exchange rate risk is ignored.
3.This investigation also finds that the use of US dollars forward contacts may improve the hedging efficiency. However, the hedging effect with the Japanese yen futures contracts seemed to reduce the hedging efficiency. This study concludes that the overall performance of cross hedging is not certainly better than that of direct hedging.

並列關鍵字

Silver Futures ； Currency Futures ； GARCH ； Hedging ； OLS ； EGARCH ； Cross Hedging

參考文獻

范立亭 (2003)，「新台幣最適多元交叉避險策略之研究」，靜宜大學會計系研究所碩士論文。

羅莉莉 (2004)，「期貨市場交叉避險策略分析─以銅商品交易為例」，中原大學會計研究所碩士論文。

楊麗芬 (2005)，「USD/TWD交叉避險之績效分析－外匯期貨之應用」，元智大學管理研究所碩士論文。

周志隆 (1991)，「股票風險波動之研究－異質條件變異數分析法」，台灣大學商學研究所碩士論文。

Aggarwal, R., and A. L. DeMaskey, (1997), “Cross-Hedging Currency Risks in Asian Emerging Markets Using Derivatives in Major Currencies,” The Journal of Portfolio Management, Vol.23, No.3, pp.88-95.