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系統識別號 U0026-1507201718284900
論文名稱(中文) 共同基金之最適外匯避險策略實證研究—以臺灣、北美、歐洲、日本股票型共同基金為例
論文名稱(英文) An Empirical Study on the Optimal Currency Hedging Strategy of Mutual Funds—Evidence from the Equity Mutual Funds in Taiwan, North America, Europe and Japan
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 105
學期 2
出版年 106
研究生(中文) 何苗苗
研究生(英文) Miao-Miao Ho
學號 R86043023
學位類別 碩士
語文別 英文
論文頁數 42頁
口試委員 指導教授-顏盟峯
口試委員-王明隆
口試委員-林嘉慧
中文關鍵字 最適避險比率  匯率風險  遠期外匯  共同基金 
英文關鍵字 Optimal Hedge Ratio  Exchange Risk  Forward Exchange Rate  Mutual Funds 
學科別分類
中文摘要 這篇論文的主要研究目的是將Campbell et al. (2010) 提出的資產的外匯風險避險技術,應用於全球共同基金市場。本文以臺灣、北美、歐洲、日本共同基金市場為例,在原文的基礎上進行延伸,做樣本外測試,來測試匯率與股票市場報酬率波動的相關性是否有足夠的持續性以降低未來的風險。我們發現雖然Campbell et al. (2010)的反技術無法有效降低共同基金投組換算為台幣的波動度,卻能顯著提高了投組的整體收益。此外,文章也採用實際遠期外匯的資料來取代利率評價假說隱含的3個月遠期外匯資料,並發現一致性的結果。
英文摘要 This thesis focuses on applying the hedging technique of Campbell et al. (2010) to the global mutual funds market. We conduct an out-of-sample analysis in Taiwan, the United States, Europe and Japan to find out whether the correlations between exchange rate and stock returns are stable enough that historical estimation can reduce the portfolio risk in the future. Our empirical results show that Campbell et al.’s hedging technique does not appear to be able to significantly reduce the out-of-sample volatility of mutual fund portfolios selected by using the Hsu. Hsu, and Yen (2014) Generalized Step-SPA test. However, using Campbell et al.’s (2010) technique does improve the overall returns of the portfolios of selected mutual funds. In addition, we replace the theoretical 3-month forward exchange rates implied by the interest-rate parity by their market data and find consistent results.
論文目次 Contents
摘 要 i
Abstract ii
誌 謝 iii
Contents iv
List of Tables vi
List of Figures vii
CHAPTER 1 Introduction - 8 -
1.1 Research Background - 8 -
1.2 Motivation and Contribution - 9 -
1.3 Thesis Structure - 10 -
CHAPTER 2 Literature Review - 11 -
2.1 Motivation to Hold Foreign Currency - 11 -
2.2 Optimal Hedging Strategy - 12 -
2.3 Generalized Step-SPA(k) test - 14 -
CHAPTER 3 Methodology - 16 -
3.1 Technique to Minimize Assets’ FX Risk - 16 -
3.2 The Generalized Step-SPA Test - 18 -
3.3 The Calculation Process in this Thesis - 20 -
3.4 Practical Application - 21 -
3.5 Data - 22 -
CHAPTER 4 Empirical Results - 24 -
4.1 Results Based on FX Data Implied by the Interest-Rate Parity - 24 -
4.1.1 Stepwise Procedure of Hedging the FX Risk - 25 -
4.1.2 Measurement of Performance - 28 -
4.1.3 The Out-of-Sample Hedging Performance - 28 -
4.2 Robustness Check - 30 -
4.2.1 Computation of Out-of-sample Returns for the Three Approaches - 30 -
4.2.2 Performance Measurement - 31 -
CHAPTER 5 Conclusions and Suggestions - 32 -
5.1 Conclusions - 32 -
5.2 Suggestions - 33 -
References - 34 -

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