風險指標與台灣股價指數期貨之研究

在風險管理日益重要的今日，如何規避價格波動的風險值得我們重視，期貨為避險之重要工具，投資人該使用空頭抑或是多頭避險，而避險部位又該佔投資部位多少比例，這些都由避險比率決定。一般來說，投資人會根據自己的目標函數來決定其避險比率，本論文梳理不同風險指標下的各種避險策略，選取的指標包含變異數、夏普比率與風險值三個傳統指標，再加上Riskiness風險指標與經濟績效指標兩個新的指標，比較不同風險指標應用在期貨避險策略上所得到的結果。本論文選取台灣股價指數期貨作為分析對象，將台股加權指數作為現貨，台股加權指數期貨與摩根台股指數期貨作為避險用的期貨，探討在不同期貨下，所得到的最適避險比率與避險效果的差異。實證結果顯示，利用最小Riskiness避險策略所得出的最適避險比率較最小變異數來得小，與文獻理論結果一致；而使用台指期與摩台指兩種期貨的所得到的最適避險比率存在差異；另外，在實證資料中， Riskiness與其衍生的經濟績效指標之最佳避險比率在部分時段不存在。

關鍵字

股價指數期貨；風險指標；夏普指標；風險值； Riskiness ；最適避險比率

並列摘要

Risk management is getting more and more important in modern society, how to avoid the risk of price volatility is highly concerned. Futures is an important tool for hedging. And what kind of hedge strategy will be taken is depended on the hedge ratio. The hedge ratio is determined by the investor’s objective function, which is risk index generally. This study sorts out various hedge strategies under different risk indexes, including three traditional indexes - variance, Sharpe ratio and VaR. Moreover, some new risk indexes such as Riskiness and economic performance index are included. This study compares the results of different hedge strategies determined by different risk indexes. The empirical result is consistent with the theoretical properties, and show that the optimal hedging ratio on TAIEX Futures and SGX MSCI Taiwan Stock Index Futures are different. Finally, the study demonstrates that the riskiness-minimizing hedge ratio and EPM-minimizing hedge ratio do not exist for some time periods.