The Hedging Effectiveness of Time-Varying Hedge Ratios-Evidence from The MSCI and TAIFEX Taiwan Stock Index Futures

[[abstract]]本文探討以TAIFEX ( Taiwan Futures Exchange)台灣加權股價期貨與SGX ( Singapore Exchange Limited)摩根台指期貨來規避摩根台股現貨價格波動之風險，並比較兩者之避險效果何者較佳。運用EWMA、Power EWMA、等權重Moving Average 和 GARCH避險模型來估計時變避險比率，並比較不同模型之避險效果，資料期間自1998.12.24~2006.12.18日資料。經實證結果發現：整體而言，以美元計價SGX摩根台指期貨之避險績效優於以台幣計價TAIFEX台指期貨。四種時變避險比率之避險績效結果，並指出Power EWMA避險效果最佳。最後，就避險比率的變異數來看，使用SGX摩根台指期貨，其避險比率異數，較TAIFEX台指期貨為低。[[abstract]]The purpose of this paper is to investigate the hedging effectiveness of the TAIFEX and the US dollar denominated SGX MSCI Taiwan index futures contracts for managing MSCI Taiwan index. The Additionally, thesis compares the hedging effectiveness of various time-varying hedge rations, including the equally-weighted moving average, the exponentially weighted moving average ( EWMA), the power EWMA, and the multivariate GARCH model. All the data ranged from December.24, 1998 to December.18, 2006 are collected and transferred to returns of single-day for the comparison of the effectiveness of different approaches. By all accounts MSCI Taiwan index futures is that it is denominated in foreign currency (US dollars) better performance than TAIFEX Taiwan index futures is that it is denominated in New Taiwan dollars of effect for heged. besides, superiority of the Power EWMA over other Time-Varying Hedge Rate. Finally, the Variance of OHR (Optimal Hedge Ratio) on MSCI Taiwan index futures is lower than TAIFEX Taiwan Index Futures. The conclusions can be summarized as follows: (1) Overall, the hedging effectiveness of The US dollar denominated SGX MSCI Taiwan index future contract is superior to the TAIFEX Taiwan index future contract; and (2) For both SGX MSCI and TAIFEX Taiwan index future, the power EWMA estimator outperforms other time-varying hedge ratios