碩士 / 國立臺灣大學 / 財務金融學研究所 / 94 / We stand in Taiwan investors’ point of view to investigate the efficacy of three simple strategies for hedging foreign exchange risk. The strategies are: to always hedge, to hedge when the forward rate is at a premium, and the optimal hedge. We compare these strategies with an unhedged strategy and find that the “always-hedge” strategy not only result in higher risk but also account for negative return. An optimal hedge strategy generally performs better than the other two hedging strategies, but the unhedged strategy outperforms all the hedging strategies. We illustrate our results using a data set of Taiwan and U.S. stock markets.
| Identifer | oai:union.ndltd.org:TW/094NTU05304086 |
| Date | January 2006 |
| Creators | Chin-I Tsai, 蔡瑧怡 |
| Contributors | Larry Tzeng, 曾郁仁 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 37 |
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