中國金融期貨市場避險比例之檢定 -以BEKK為研究模型

Testing for the Chinese Finance Futures Market – A BEKK Approach

吳世強(SHI-CHANG GOH)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2011年)

摘要

隨著全球目光聚焦於歐債與美債危機當中，中國正慢慢崛起成為世界經濟強國;但相較其他經濟強國，中國金融市場開放較晚，資訊迅速傳遞與國際國際市場整合能加速經濟成長，但也為今日的金融市場增加更多的不確定性，因此，本文想藉由general modified BEKK模型探討中國滬深指數市場。

本文將滬深指數現期貨日內資料作為研究對象，並納入定性變數(到期日、政府調整、日內效果與換月效果) 。我們利用general modified BEKK模型與其它模型進行比較，提供投資人瞭解新興市場情況，妥善配置並降低風險。實證結果發現，general modified BEKK模型優於其他模型，可幫助流動性交易者(即不具訊息優勢之交易者)降低其持有投資組合的風險。

關鍵字

避險比率、BEKK、到期日

並列摘要

When the world is concentrating on European debt and American debt, Chinese is slowly rising to become the world's largest Economic Industry; but compare to other leading economic power, Chinese's financial market was opened late. Though rapid information communication and international market integration can speed up Chinese's economic growth, yet, it also signifies the uncertainty in its financial market today. Hence, this study will use general modified BEKK to investigate Chinese's CSI300 market.
These models uses intra data from the CSI300 spot and futures index, and accounting separately for time-maturity, government adjustment, intraday effect and turn of the month effect. We use the general Modified BEKK Model and its internal MODEL to calculate the optimal hedge ratio in order to compare which model is most effective to explain the optimal hedge ratio. Our statistical tests support a conclusion that it can effectively estimate optimal hedge ratio of Chinese's cash and futures prices in time-varying, so can it provide liquidity trader during hedging.

並列關鍵字

Hedge ratio ； BEKK ； Time-maturity

參考文獻

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