The Study on Optimal Dynamic Hedging Model under Bull and Bear Markets

[[abstract]]當金融市場之價格落於多、空頭期間，投資人之風險趨避程度、與交易熱絡程度隨之不同，使得金融商品之價格行為也有差異，如：多空期間之均數復歸行為不同、報酬波動性大小不同。而上述差異於期貨市場亦存在，因而可推論期貨避險於多空頭期間存在不同績效表現，然而，過去文獻卻缺乏依市場交易熱絡程度與市場多空期間而設計不同之最適避險比率，本文則嘗試透過不同指標或模型區辨多空期間，將多空期間概念，引入期貨避險比率計算，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，並與傳統各動能避險模型相較，以期能有效提高避險績效。另外，由於新興市場國家之現貨與期貨市場之報酬變異程度較已發展國家大，更適合作為最適避險比率選定之市場，故本文以目前文獻較為缺乏之新興國家期貨市場進行實證研究，希冀提供投資人進行避險策略之選擇依據。[[abstract]]As the prices of financial assets have upward and downward trends (i.e. bull and bear markets), the attitude of risk averse of investors and market liquidity are different, therefore, the price behaviour of financial assets. For example, the characteristic of mean reversion and the volatility are depend on bull and bear markets. The phenomenon also exists in futures markets. The results could be assumed the optimal hedge ratio is different under bull or bear market reasonably. However, few studies have been done on the issue about dynamic hedge model under bull and bear markets. Considering several kinds of methods to separate the bull and bear markets, this paper try to design new optimal hedge ratio under different assets price trends. The hedging model should get the improvement in terms of risk reduction for hedging portfolio. 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]]NSC98-2410-H025-01