[[alternative]]The study of the use of stock index futures to hedge equity funds

碩士[[abstract]]近年來股票型基金已普遍的為投資人所接受的投資工具。股票型基金雖可分散非系統風險，對於系統風險仍需透過衍生性商品(如期貨、選擇權)進行規避。就目前國內投資環境與相關法令規定，個別投資人於投資股票型基金時仍須面臨許多問題，例如： 1. 國內股票型基金進行空頭避險時，避險比率不得大於1。 2. 國內股票型基金通常有持股最低之門檻限制。 3. 多數國內股票型基金未進行避險。 4. 個別投資人若不自行避險，則需要承擔系統風險。 本研究假設個別投資人申購基金並自行運用台灣期貨交易所推出之台灣發行量加權股價指數期貨自行避險，觀察扣除避險成本(如交易手續費、期交稅與避險損益)後，投資組合之績效表現。 挑選2003年1月至2005年12月間74檔未進行避險之基金進行分析，假設投資人自行依照Jensen模型中β係數進行避險，並觀察： 1. 2003年5月2日至2005年12月30日期間，扣除交易手續費、期交稅與避險損益後，74檔基金避險後投資組合績效(買基金、空期貨)表現與風險降幅。 2.考慮以濾嘴作為期貨避險進出場依據，觀察基金投資組合同上觀察期間常態性避險與使用濾嘴避險績效表現及風險降幅。 3.考慮特殊事件319槍擊案前後一週，避險後投資組合績效表現及風險降幅。 研究發現： 1. 2003年5月2日至2005年12月30日期間，74檔未避險基金中， 12檔報酬波動率小於大盤、報酬率優於大盤。成對樣本t檢定之p-value皆達1%顯著水準。避險後投資組合之風險降幅介於7.85%~43.24%之間。 2. 影響報酬率的主要因素：避險成本是影響避險後績效的主要因素。 3. 74檔基金經4%濾嘴避險後60檔投資組合報酬波動率小於大盤且報酬優於大盤，成對樣本t檢定之p-value皆達1%顯著水準。風險降幅介於12.75%~24.68%。4. 319槍擊前後一週， 25檔報酬波動率低於大盤且為正報酬。74檔基金避險前與避險後成對樣本t檢定之p-value皆達5%顯著水準。風險降幅介於33.41%~80.02%。[[abstract]]While the unsystematic risk of equity funds could be reduced through portfolio diversification, their systematic risk could only be hedged using derivatives like futures and options. Nonetheless, equity funds’ investors could still have considerable exposure to the systematic risk due to the current restrictions imposed on equity funds and the investment practice in Taiwan: 1. The futures position that an equity fund is permitted to hold can not exceed that of its stock holdings regardless of what the beta of its stock holdings is. 2. The equity funds are normally required to hold a minimum level of stock holdings at all time regardless of how bearish the market is. 3. A majority of equity funds do not hedge their stock holdings at all. This research, assuming that the investors of the equity funds could personally hedge their investment in the funds with Taiwan Stock Index Futures, analyzes and compares the performance under the following hedging scenarios: 1. The funds are not hedged at all. 2. The funds are hedged at all time for the entire period. 3. The funds are hedged selectively with 4% filter. 4. The funds are hedged only prior to the extraordinary event of 319. In the analysis, the β used in the hedging ratio will be computed from Jensen Model and the hedging cost will include the brokerage commission, transaction tax, and trading loss of the hedging position. Using the historical data of the 74 equity funds from January 2003 to December 2005 and applying the various hedging strategies described above, the following results are observed: 1.When the funds are hedged throughout the period, 12 out of 74 funds have lower risk and higher return than the TAIEX. Pair T test is performed resulting in a finding being statistically significant at 1% level. The degree of risk decrease is found to be in the range of 7.85% to 43.24%. 2.When the funds are hedged selectively with the use of filter, 60 out of 74 funds have lower risk and higher return than the TAIEX. Pair T test is also performed resulting in a finding being statistically significant at 1% level. The degree of risk decrease is found to be in the range of 12.75%~24.68%. 3.When the funds are hedged one week prior to the extraordinary event of 319, 25 of 74 funds have lower risk and higher return than the TAIEX. Pair T test is performed resulting in a finding being statistically significant at 5% level. The degree of risk decrease is found to be in the range of 33.41%~80.02%.[[tableofcontents]]第一章 緒論………………………………………………… 1 第一節 研究背景、動機與研究目的……………………………1 第二節 研究架構…………………………………………………4 第二章 文獻回顧………………………………………………5 第一節 投資組合理論與資本資產定價模型……………………5 第二節 傳統基金績效指標探討…………………………………10 第三節 股價指數期貨、避險、濾嘴法則、與避險績效衡量…15 第三章 研究方法………………………………………………34 第一節 資料來源及處理…………………………………………34 第二節 避險比率與方法…………………………………………36 第三節 避險績效評估方法………………………………………38 第四章 實證結果………………………………………………41 第一節 常態性避險前與密險後之績效衡量與風險降幅………41 第二節 運用濾嘴法則與常態性避險績效衡量與風險降幅……48 第三節 319槍擊案前後一週避險績效衡量與風險降幅…………54 第五章 結論與建議……………………………………………62 第一節 結論……………………………………………………62 第二節 研究限制與後續研究建議………………………………63 參考文獻…………………………………………………………………65 表 目 錄 表2-1 台灣期貨交易所股價指數期貨彙整表…………………18 表3-1 74檔採樣基金名稱及代碼 ………………………………35 表4-1 74檔基金避險前、常態性避險後報酬率與報酬波動率表43 表4-2 74檔基金常態性避險後風險降幅表 …………………… 45 表4-3 74檔基金常態性避險後與大盤累計報酬率成對樣本T檢定 46 表4-4 74檔基金常態性避險前、避險後累計報酬率成對樣本T檢定47 表4-5 4%濾嘴避險進出場日期……………………………………48 表4-6 74檔基金第一個觀察期間避險前、4%濾嘴避險報酬率 與報酬波動率表………………………………………………………50 表4-7 4% 濾嘴避險後風險降幅表………………………………52 表4-8 74檔基金常態性避險與4%濾嘴避險後累計報酬率成對樣本T檢定53 表4-9 74檔基金319前後ㄧ週避險前、後報酬率與報酬波動率表…55 表4-10 319前後一週74檔基金避險後之風險降幅………………57 表4-11 74檔基金避險後投資組合與大盤累計報酬率成對樣本T檢定58 表4-12 74檔基金避險前與避險後成對樣本T檢定…………………60[[note]]學號: 792490251, 學年度: 9