ASIA unversity:Item 310904400/3573
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    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/3573


    Title: The Research of The Optimal Hedge Ratios and Hedge Performarce For Domestic Short Term Interest Rate Futures
    Authors: Jan Tsung Chi
    Contributors: Department of Business Administration
    Keywords: Hedge Ratio;Hedge Performance;Naive Model;OLS Model;VECM Model
    Date: 2006
    Issue Date: 2009-11-17 11:17:37 (UTC+0)
    Publisher: Asia University
    Abstract: The purpose of this research is to estimate optimal hedge ratio and compare hedge performance by using Naive model , OLS model and VECM model . The data include Taiwan 30-Day Commercial Paper Futures and Taiwan 10-Day , 90-Day , 180-Day Commercial Paper . The major results are as follows?
    1. By using unit roots testing of all data , we find that the significance of unit roots and the nonstationarity of the price series . Hence , price series should be differenced to induce stationary .
    2. The result of cointegration test has shown that there is a long-run equilibrium relationships between spot and futures prices . Consequently , a cointegration measure can be taken into account in the hedge model .
    3. We find the same result in detecting the effects of in-of sample periods and out-of sample periods . The OLS model performs more well than all other hedge models for Taiwan 30-Day Commercial Paper Futures , and the VECM model is the second best . The results also has indicated that the VECM model can not improve the hedge performance . The portfolio including Taiwan 30-Day Commercial Paper Futures and Taiean 90-Day Commercial Paper can make the best hedge performance.
    Appears in Collections:[Department of Business Administration] Theses & dissertations

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