Duration Effects, Expiration Effects and Hedge Ratio Stability: An Empirical Study on TAIFEX Futures and SGX-DT Futures

[[abstract]]本文以TIFEX台股期貨與SGX-DT摩根台股期貨為研究對象，首先運用OLS、ECM與GARCH(1,1)等三種方法以估計避險比率，並比較何種估計方法能使得避險組合的變異數最小。其次，本文檢測避險存續期間與距期貨到期期間此兩項決定避險比率的重要因素，其對於避險比率的影響。最後，本文則檢視避險比率是否隨時間經過而成定態。 有關本文實證結果分述如下：（1）TAIFEX期貨與SGX-DT期貨實證結果都顯示，最小變異數避險策略優於beta避險策略，其中又以OLS法避險效益最佳，略優於ECM及GARCH（1,1）法。（2）兩種期貨均存在存續期間效果，即避險比率及避險效益隨著避險存續期間增加而增加，此結果與Lindahl（1992）驗證MMI指數期貨與S&P 500 指數期貨所得結果是一致的。（3）TAIFEX期貨的到期效果並不存在，SGX-DT期貨的到期效果雖存在，但不明顯。（4）兩種期貨之避險比率隨時間經過呈現相對穩定，另外，由避險效益逐年增加來看，暗示著市場效率性有逐年提高的現象。[[abstract]]This thesis first examines the question of which estimation method minimizes the variance of the hedged portfolio using the TAIFEX futures contract and the SGX-DT futures contract. In addition, the thesis investigates two important factors. (that is, hedge duration and time to expiration of the contract)in determining hedge ratios. Finally, the stability of hedge ratios through time is tested. The empirical results show that the minimum variance hedge ratios (mvhrs) estimated by OLS is slightly superior to the mvhrs estimated by ECM and GARCH(1,1) for the TAIFEX and SGX-DT futures contracts. Second this thesis finds that both hedge ratios and hedge effectiveness increase as hedge duration increase. These results coincide with those of Lindahl (1992) for the MMI and S&P 500 futures contracts. Third, no expiration effect exits for the TAIFEX futures. There exits insignificant pattern of increasing as expiration nears for the SGX-DT futures. Finally this thesis also finds that hedge ratios are stable over time for the TAIFEX and SGX-DT futures. Moreover, hedging effectiveness has been increased in recent years, implying greater efficiency in these two markets