有許多投資人藉由技術分析指標所產生的買賣訊號作為進出股市的依據,然而,倘若可以使用技術指標作為避險時機的判斷依據,且運用適當的避險工具,則投資人不僅可以享受股價上漲的利益,也可以避免股價下跌所產生的損失。這種以技術指標判斷避險時機,且搭配適當避險工具之操作方式,即為權變避險模式。過去探討權變避險模式的文獻所使用的避險工具皆為台指期貨,本文改以台指選擇權進行避險,並使用KD與MA技術指標組合作為判斷避險時機之依據。本文使用台指現貨與台指選擇權之週資料進行權變避險模式之研究,實證結果發現:(1)權變避險模式的績效優於買進持有策略,僅在避險盈虧以買賣現股方式處理,且以價內賣權契約進行避險之下的績效相對較差。(2)最佳之權變避險模式內容為:以九週KD&MA(9KM)技術指標判斷避險時機、避險盈虧以買賣現股方式處理,且採用價外賣權契約來避險。
Many investors use technical analyses for the timing of stock investment. If technical analyses for the hedging timing are combined with appropriate instruments for hedging, investors not only can participate the appreciation of asset value in the bull market but also protect assets from losses in the bear market. The combination of hedging timing and hedging instruments is the major concept of the contingent hedging model. In past literature, the hedging instruments used in the contingent hedging model are TAIEX futures contracts. The purpose of this study is to investigate a different combination of the contingent hedging model. Firstly, TAIEX options are used as the hedging instruments. Secondly, different technical analysis indices (KD&MA) are used as an indicator of hedging timing. The weekly data for TAIEX spot index and TAIEX options are used in this study. Our results indicate that the performance of the contingent hedging model outperforms the buy-and-hold strategy, except using the hedging profits (or losses) to buy (or sell) shares of stock and using the in-the-money put option as hedging instrument. Additionally, this study finds that the combination of using the 9-week KD&MA indices to determine the hedging timing, using the hedging profits (or losses) to buy (or sell) shares of stock, and using the out-of-the-money put options as the hedging instrument is the best contingent hedging model.