The Study on the Optimal Dynamic Hedge Models in Stock Futures

[[abstract]]過去文獻上有不少學者探討各式期貨避險模型，希望能找出達到避險投資組合報酬變異最小的最適避險比率，然而各式計險模型所擷取訊息之角度與程度並不相同，各有千秋，本文則首次應用組合預測模型概念，提出組合式避險模型，將個別單一模型以不同權重組合為新的動態避險模型，同時納入不同單一模型之優點，以期能有效提高避險績效。本文選用目前文獻較為缺乏之新興國家期貨市場進行實證研究，希冀能透過不同新興國家之各個避險模型競賽，提供投資人進行避險策略之選擇依據。[[abstract]]There has been substantial research effort aimed to find optimal hedge ratio but so far the discussion is limited to the separate hedge models in the literature. Instead of single futures hedge model, the purpose of this study is to propose an innovative composite hedge model to consider combing different hedge model. The composite hedging models embrace the advantages of different kinds of hedge model and try to get the improvement in terms of risk reduction for stock markets. This study focuses on the emerging countries because the absence of the evidence on performance of the estimated conditional optimal hedge ratio in emerging futures markets. The empirical results could recommend the optimal hedge model to supply useful information for investors’ hedge strategy.[[note]]NSC97-2410-H327-01