美國股債市投資匯率風險避險之研究

Currency Risk Hedging for US Stock and Bond Investment from Taiwan Perspective

國外金融投資在台灣壽險公司與退休金的資產配置上佔有重要比重。本研究是從台灣投資者的觀點探討美國股債市投資匯率風險的傳統與──籃子避險（proxy hedging）。在量化風險方面，除了以傳統的變異數來衡量外，也採用經濟風險指標（the economic index of riskiness）。以投資報酬的最小變異數或經濟風險指標最小為目標求得最適避險的外幣需求（optimal proxy hedging demand）。資料期間是從1999年5月至2018年10月。研究結果實證顯示，無論以何種風險指標，在股市投資上，最適美元外匯避險傾向少部份避險、不避險或持有更多的美元部位。其主要因素可能是美元報酬的波動度相對於股市報酬低很多且股市報酬與美元報酬之間有負相關，因此，持有美元部位有助於降低整體投資風險；在債市投資上，最適避險傾向大部份避險或賣空一些美元部位。因為美元報酬的波動度與債市報酬很相近且其間有微正相關。因此，持有美元部位會增加整體投資風險。

International financial investment has become an important part of assets for major pension funds and life insurance companies in Taiwan. This paper studies traditional hedging and proxy hedging for US stock and bond investment from Taiwan investors' perspective. The minimum-variance model and the minimum-riskiness model are used for finding out the optimal hedging demand for currencies. The full sample period studied are from May 1999 to Oct 2018. For the stock investment, both models suggest slightly hedge, no hedge or even holding extra US dollar positions. It might be due to the facts that the volatility of US dollar return is much lower than that of the stock and the currency return and the stock return are negatively correlated. Thus, holding the US dollar reduces the total risk of the investment. However, for the bond investment, they mostly suggest high hedge ratio or even short dollar positions. It might be due to the facts that the volatility of US dollar return is about the same as that of the bond, and their returns are slightly positively correlated. Thus, holding the US dollar increases the total investment risk.