本文研究投資組合效果與動態效果對於投資組合避險是否有效。使用BEKK-GARCH (Baba-Engle-Kraft-Kroner)作為動態共變異結構的模型以計算最小變異避險比率。同時,也在文章中加入非對稱性與基差對於避險效果的研究。使用的商品包含倫敦金屬交易所內交易的六種金屬商品。結果顯示,投資組合避險在所有的實例中均優於分別避險。加入非對稱效果後無法繼續增加避險有效性。而基差效果的加入則可以明顯的提升避險的有效性。
This paper investigates the portfolio effect and the dynamic effect of portfolio hedging effectiveness. BEKK-GARCH (Baba-Engle-Kraft-Kroner) is used to model the dynamic covariance structure to calculate the minimum variance hedge ratios. The effects of asymmetries and basis are also investigated. Six metal commodities traded in the London Metal Exchange are used. Results show that portfolio hedging is superior to separate hedging for all cases. The asymmetry effect can’t increase hedging effectiveness. After adding the basis effect, hedging effectiveness is improved obviously.
為了持續優化網站功能與使用者體驗,本網站將Cookies分析技術用於網站營運、分析和個人化服務之目的。
若您繼續瀏覽本網站,即表示您同意本網站使用Cookies。