An Empirical Study of Portfolio Insurance in Taiwan Stock Market-using SIMEX MSCI Taiwan Index Futures as The Adjustment Tool
| Autor: | 楊弘毅 |
|---|---|
| Rok vydání: | 1998 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 86 Portfolio insurance strategies can serve the needs of investors who wish their portfolios to be protected in bear markets and to participate in the upward appreciation in bull markets. The strategies can not be fulfilled without an appropriate hedging tool, and SIMEX MSCI Taiwan index futures provide the investors with a choice. The study has an empirical period from January 15th, 1997 to January 14th, 1998, which is divided into sub-periods of four quarters, two semi-years, or one year. Three kinds of strategies are adopted, including synthetic put, CPPI, and TIPP. The underlying asset is formed from the 77 constituent stocks of MSCI Taiwan index, and stock and cash dividends are considered in this study. The adjustments needed are made in the futures market. Strategies adopted in this study suffer opportunity costs in bull markets and enjoy excess returns in bear markets. Almost all strategies can achieve their insurance goals in different periods except the third quarter and the second semi-year periods. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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