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股價指數期貨之避險績效

HEDGING EFFECTIVENESS OF STOCK INDEX FUTURES

黃祈華

國立高雄第一科技大學財務金融研究所博士候選人

張簡彰程

長榮大學財務金融系副教授

高子荃

崑山科技大學財務金融系副教授

高偉舜

閩江學院經濟與管理學院副教授

鄭鈺蓓

南都汽車股份有限公司車輛部資深行政專員

Chi-Hua Huang

Ph. D. Candidate, Department of Finance,
National Kaohsiung First University of Science and Technology

Chang-Cheng Changchien

Associate Professor, Department of Finance,
Chang Jung Christian University

Tzu-Chuan Kao

Associate Professor, Department of Finance,
Kun Shan University

Wei-Shun Kao

Associate Professor, Department of Economics and Management,
Minjiang University

Yu-Bei Zheng

Administrator, Department of vehicle,
Nandumotor corporation


摘要

本文建立具有厚尾分配型態與基差效果的不對稱GARCH模型，同時探討波動不對稱行為、資產條件分配與基差等三者對避險績效的影響性。本文應用F檢定與Hansen（2005）的Superior Predictive Ability（SPA）法來檢定避險模型的績效。本文以新加坡摩根台股股價指數期貨（SIMEX MSCI Taiwan Stock Index Futures, MSCI）為研究對象，實證結果顯示在避險期間為1天時，常態分配下的GARCH模型與其他模型具有相同的避險績效，表示波動不對稱性、厚尾分配與基差三者對於1天期的避險績效並無影響效果。然而在長天期的避險期間，實證結果顯示考慮波動不對稱性、厚尾分配型態與基差能提升避險的績效，其中以考慮Student t分配與不對稱基差的GARCH模型為最佳。

關鍵字：最適避險比率、波動、基差、偏斜一般化t分配

 

ABSTRACT

The purpose of this study is to discuss the asymmetric volatility, basis and conditional fat-tail or skewed distribution which can improve the futures hedging effectiveness of SIMEX MSCI Taiwan Stock Index Futures. This study utilizes the four conditional distributions which are normal distribution, Student t distribution, the generalized error distribution (GED) and the skewed generalized t distribution (SGT), in addition to symmetric and asymmetric basis, also GARCH and GJR models to estimate the assessment of different models to the hedging effectiveness. We perform Hansen (2005) superior predictive ability to test for predictive superiority of our methods over the benchmark model, and find that there is no influence of asymmetric, fat-tail, basis upon the hedging period one day. The findings also find the asymmetric volatility, basis and conditional fat-tail distribution especially the student t distribution and GARCH models of asymmetric basis can improve the hedging effectiveness of stock index futures in long hedging periods.

Keywords: Optimal Hedge Ratio, Volatility, Basis, Skewed Generalized t Distribution

回目錄

崩盤風險、股票流動性

CRASH RISK AND STOCK LIQUIDITY

羅進水

長榮大學財務金融系副教授

吳政宏

長榮大學財務金融系畢業生

Chin-Shui Lo

Associate Professor, Department of finance,
Chang Jung Christian University

Jheng-Hong Wu

Graduate, Department of finance,
Chang Jung Christian University


摘要

本文探討個股崩盤及市場崩盤風險對於流動性與流動性共變的影響。實證結果發現個股及市場崩盤風險與流動性有顯著正相關系，且市場崩盤對於流動性的影響程度大於個股崩盤的影響。市場劇烈變動時，市場崩盤與流動性有正關聯性，但是個股股價崩盤並未顯著增加或降低對於流動性影響。實證結果也顯示市場崩盤風險會增加個股流動性共變的程度。相對於投資人情緒高昂期間，投資人情緒低落期間，市場崩盤與流動性共變關係有較高程度的影響。整體而言，市場崩盤風險對於流動性及流動性共變的影響程度大於個別股價崩盤風險。

關鍵字：崩盤風險、股票流動性、流動性共變

 

ABSTRACT

This study examines the impacts of stock price crashes and market crashes on liquidity and commonailty in liquidity. Regression results reveal several key findings. First, both stock price crashes and market crashes are positively related to future stock liquidity. Moreover, the influences of the latter are greater than the former. Second, under large market shocks, market crashes are positively associated with liquidity, whereas stock price crashes have no impacts. Third, the market crashes increase the commonality in liquidity. Market crashes have greater influences on commonailty in liquidity during the period of low sentiment compared to the period of high sentiment. To summarize, compared to stock price crashes, market crashes have greater impacts on both liquidity and commonality in liquidity.

Keywords: Commonality in Liquidity, Crash Risk, Stock Liquidity

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名人代言電視廣告公益行銷手法之研究－以全家超商Fami霜淇淋為例

MARKETING METHOD OF CELEBRITY’S ENDORSEMENT TV ADV. - CASE FOR FAMI’S FROST CREAM

鄭永斌

東方設計學院文化創意設計研究所碩士
台南市政府工務局人事室科員職代

林金池

國立高雄師範大學工業科技教育博士助理教授

Yong-Bin Zheng

Master, Department of Graduate Institute of Cultural and Creative Design,
Tung-Fang Design University
Clerk on Works Bureau Personnel Division of Tainan Municipal Government

Chin-Chih Lin

Assistant Professor, Ph.D. of Industrial Technology Education,
National Kaohsiung Normal University


摘要

自從1988年，統一超商請名人為其商品廣告代言，引起其他超商紛紛群起效尤。企業透過你消費我樂捐的公益行銷策略，創造善盡社會責任新觀念，企圖說服消費者，消費的同時也能幫助偏鄉弱勢兒童，兼作公益。研究旨在探討全家超商愛’s霜淇淋電視廣告所呈現出之社會階級意識有何社會文化意涵與整合行銷策略。透過文獻探討、比較分析及符號學等方法，深入剖析並比較全家超商愛’s霜淇淋與其他超商廣告差異之處。研究結果發現，廣告中呈現出弱勢家庭與都會白領中產階級，藍領勞工家庭與社會菁英的兩種樣貌。全家運用電視廣告情節，描寫本土清寒家庭在物質需求與親情間不斷地壓抑與喘息，企業關懷轉化成為弱勢家庭有情溫暖的協助者。全家霜淇淋運用整合行銷策略，透過頻繁推出新口味製造話題，並結合社群名人代言公益行銷，搶得市場心占率及市占率。研究最後再針對超商物流行銷通路商提出二點行銷策略建議。

關鍵字：公益行銷、企業社會責任、異業結盟行銷策略

 

ABSTRACT

1986, Seven-Eleven, the convenience store in Taiwan, invited the artists for endorsement her Double Shot Frost Cream’s product. It triggered a wave of following for the strategic model. For the social responsibility and high-quality brand, the company created some new ideas for the consumers. One of them was that the consumers could help the charities and the children in some rural schools by consumed the company products. The aim of study was to delve the means and the strategies of social and cultural implications about the social class consciousness in the Double-gun frost cream TV adv. By analyzed and compared the differences between double-gun frost cream and other store, the methods of literature research, comparative analysis and semiotic studies be used. From the TV adv., the study found two types of society, the classes of urban white-collar middle and the blue-collar labor. The Fami describe the material needs of poor families in the country and the suppressive wheezing of poor families by used the storyline of the advertisement. From care to be a ardent helper for disadvantaged families, the Fami used an integrated marketing strategy to create topics through frequent launches of new tastes, and combines social celebrities with charity marketing to capture the speed of marketing. Finally, two marketing strategies were proposed for the supermarkets.

Keywords: Caused-related. Marketing, Corporate Social Responsibility (CSR), Horizontal Alliances Marketing Strategy

回目錄

知遇之恩，湧泉相報？社會支持的效應分析－中介式調節模式探討

DO PEOPLE RETURN A DROP OF WATER WITH A SPRING WHEN APPRECIATING FOR ENCOURAGEMENT? AN ANALYSIS OF SOCIAL SUPPORT EFFECTS - A MEDIATED MODERATION MODEL

謝琇玲

義守大學企業管理學系教授

侯韋光

義守大學管理博士生

吳靜萍

義守大學企業管理碩士

施廣南

義守大學管理碩士

Hsiow-Ling Hsieh

Professor, Department of Business Administration,
I-Shou University

Wei-Kuang Hou

Ph.D. student, PhD programs in Management,
I-Shou University

Jing-Ping Wu

Master, Department of Business Administration,
I-Shou University

Quang-Nam Ngo

Master, Department of Management,
I-Shou University


摘要

員工是企業的最大資產之一，員工心理層面（如工作投入）與行為（如組織公民行為）已成為企業的管理重心。因此組織裡的社會支持是否能促進員工的工作投入，進而提高組織公民行為乃成了重要議題。此外，服務業通常強調服務顧客，而其所營造出來的服務氣候，能否強化社會支持和其工作投入之間的關係，是本研究探討的重點所在。本研究以社會交換理論觀點。提出中介式調節模式來探討上述關係的產生，以解析第一線服務人員之「回報」效應，以及組織服務氣候下的系絡限制。特別深入分析「社會支持」之三維度，釐清隱含在整體構念下，何種社會支持類型之效益較顯著。本研究採用問卷調查法，針對服務業第一線員工，共發放272份問卷，有效問卷共計239份，可用率為87.86%。本研究發現，雖然社會支持對組織公民行為的影響並不顯著，且工作投入在社會支持與對組織利益之組織公民行為（OCBO）之間並不存在中介效果。然而組織內特定個體之組織公民行為（OCBI）受到情感性支持與訊息性支持的影響，但當有中介效果出現，情感性支持與訊息性支持並沒有影響到OCBI，而工作投入的「奉獻」對OCBI產生顯著的正向影響。同時，「奉獻」在情感性支持、訊息性支持與OCBI扮演完全中介角色。最後，「服務氣候」和「情感性支持」的交互作用使員工之兩種工作投入—「奉獻」及「專注」產生更大的效應。綜合研究結果，本研究建議主管應適時關懷員工，以維持員工的心理品質。給予員工多一點情感上關懷，員工會更投入工作，進而以組織公民行為回饋之。

關鍵字：社會支持、工作投入、組織公民行為、服務氣候、社會交換理論

 

ABSTRACT

Organization’s greatest asset is employees. Employees’ mental (e.g., job engagement) and behavior (e.g., organizational citizenship behavior, OCB) are the critical cores in business management. To acknowledge whether social support can enhance employees’ job engagement and then promote their OCBs or not has becoming an important issue. In addition, most service organizations put emphasis on customer service. Hence, the focus of the study is to investigate if organizational service climate can strengthen the relationship between social support and job engagement among employees. Drawing on social exchange theory, we propose a mediated moderation model to examine the “return effect” of front-line employees and the contextual boundary of organizational climate. Specifically, we explore the three dimensionalities of social support instead of whole construct to clarify and compare their effectiveness. The study used questionnaire to collect data from front-line employees in service industry. A total of 209 questionnaires were distributed, and there were 239 usable responses, yielding a response rate of 87.86%. Findings indicated that social support has no significant impact on OCB and job engagement also has no significant mediating effect between social support and OCBO. However, emotional support and informational support are positively related to OCBI, and they don’t have direct influence on OCBI as job engagement plays the mediating role. Also, dedication of job engagement has positive effect on OCBI. More importantly, dedication plays a full mediating role between emotional support and OCBI, and informational support and OCBI, respectively. Last but not least, the interactive effect of service climate and emotional support is statistically significant on dedication and absorption. This paper suggests that supervisors should put more care on interpersonal relation with employees to maintain their psychological health. Employees will be more engaged to their work and more likely to feedback the organization with OCB.

Keywords: Social Support, Job Engagement, Organizational Citizenship Behavior, Service Climate, Social Exchange Theory

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