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| Title: | 新冠疫情期間指數型基金之避險策略分析
Analysis of Hedging Strategies for Index Funds During the COVID-19 Pandemic |
| Authors: | 成炫叡
Cheng, Hsuan-Jui |
| Contributors: | 謝淑貞
成炫叡
Cheng, Hsuan-Jui |
| Keywords: | 避險策略
選擇權
Hedging strategy
Option |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:31:18 (UTC+8) |
| Abstract: | 本文利用反向型ETF及選擇權賣權建構投資組合的避險策略，研究期間從2020年1月3號到12月31號，探討哪一種策略有較優的報酬同時也能降低風險。實證結果發現，在當天開盤附近的價差一檔賣權策略累計績效在五個策略中表現最佳，累計報酬可達24%以上。而反向型ETF 00632R的投資組合雖然波動最低的，但累計報酬同時也是最差的。單一賣權策略會因為加權指數在單一交易日暴漲使最大虧損放大，然而在指數暴跌時也會有超額的報酬，使整體波動放大，累計報酬也處於中間值。價差兩檔賣權策略標準差比價差兩檔賣權策略高、累計報酬也較低，若以價差策略來看一檔比兩檔更適合用來避險。
In this study we constructs a hedging strategy using inverse ETFs and put options, and explore which strategy provides superior returns while also reducing risk during the research period from January 3 to December 31, 2020. Empirical results indicate that a single put option strategy with a price difference near the opening price had the best performance among five strategies , with a cumulative return of over 24%. Although the portfolio of the inverse ETF 00632R had the lowest volatility, its cumulative return was the worst. The single put option strategy could result in a significant loss if the weighted index experienced a sharp rise in a single trading day, but it also had excess returns during a significant decline, resulting in intermediate volatility and cumulative returns. The standard deviation of the two put option strategies with a price difference was higher, and their cumulative returns were lower. Therefore, using a single put option strategy with a price difference is more suitable for hedging. |
| Reference: | 一、 英文文獻
Harper, J. T., Madura, J., & Schnusenberg, O. (2006) Performance comparison between exchange-traded funds and closed-end country funds. Journal of International Financial Markets, Institutions and Money, 16(2), 104–122.
Li, W.-X., French, J. J., & Chen, C. C.-S. (2017). Informed trading in S&P index options? Evidence from the 2008 financial crisis. Journal of Empirical Finance.
Santa-Clara, P., & Saretto, A. (2009). Option strategies: Good deals and margin calls. Journal of Financial Markets, 12(3), 391–417.
Chaput, J. S., & Ederington, L. H. (2003). Option spread and combination trading. The Journal of Derivatives, 10(4), 70–88.
Christopher-Hessel, Jouahn-Nam, Jun-Wang, Cunyu-Xing and Ge-Zhang.(2018) The Journal of Trading (Retired) Spring 2018, 13 (2) 69-79
Jones, Christopher S. (2006). A Nonlinear Factor Analysis of S&P 500 Index Option Returns .Journal of Finance,41,2325-2363
Chambers, D. R., Foy, M., Liebner, J., & Lu, Q. (2014). Index option returns: Still puzzling. Rev iew of Financial Studies, 27(6), 1915 1928.
二、 中文文獻
尤昭明(2005).台指選擇權實務操作之研究,國立中山大學企管研究所碩士論文。
呂傳結(2010).台指選擇權賣方最佳交易策略實證分析,東海大學財務金融學所碩士論文。
陳嵩允(2022).台灣ETF和台指期配對交易之實證研究,淡江大學財務金融學所碩士論文。
林又甫(2020).台灣50相關ETF基金流量與報酬之關聯研究,中原大學財務金融所碩士論文。
陳泳蓁(2017).台股ETF報酬與信用交易之關聯,國立中央大學財務金融學碩士論文。
李承緯(2014).臺指選擇權賣出跨式策略獲利與風險分析,中央大學財務金融學系學位論文 。
蔡欣庭 (2014). 槓桿型與反向型 ETF 對市場投資組合效率性之分析,國立臺灣師範大學全球經營與策略研究所論文。
許婉珍(2016). ETF、槓桿型ETF與反向型ETF 追蹤指數績效之分析, 逢甲大學金融碩士論文。
陳良賓(2005). 台灣50指數ETF之價量研究, 國立雲林科技大學財務金融系碩士論文。
李伊容(2012). 多空頭市場下台灣與美國ETF之研究 － 以台灣50ETF及SPDR為例, 淡江大學財務金融碩士論文。
黃美雪(2007). 台指選擇權交易策略之獲利可能性, 國立雲林科技大學財務金融碩士論文。
黃泉龍(2013). 台指選擇權賣出勒式策略實證研究, 國立中山大學財務管理學系研究所論文。 |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
110351029 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110351029 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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