實證結果顯示，週資料的模型解釋能力較日資料的模型好。另外，在面對新冠疫情時，貨幣期貨是否會產生避險性，根據本研究的迴歸分析，可得出以下結論： 1. 疫情前後的迴歸分析顯示，美元、歐元及澳幣期貨指數皆具有顯著解釋水準以及正向影響。 2. 日元期貨指數在疫情發生前不具顯著水準，直至疫情爆發後，日元期貨具有較好的避險解釋能力。;Taiwan is a country highly dependent on trade and imports, and the exchange rate has become an exchange index for measuring international currencies, so the study of exchange rates is of great significance. The outbreak of the new crown epidemic in 2020 has caused global financial turmoil, including severe fluctuations in exchange rates. It is an important issue for companies to understand which currency has risk-avoiding significance.
Therefore, this study takes January 2014 to December 2022 as the sample period to compare the changes in the hedging benefits of the four currency futures indices of the U.S. dollar, Japanese yen, Australian dollar, and euro. The method (Ordinary Least Squares, OLS) is the main method used in this study, and the exchange rate change of the US dollar against the New Taiwan dollar is used as an independent variable in order to find out the degree of risk aversion between foreign exchange futures and the US dollar against the New Taiwan dollar.
The empirical results show that the model with weekly data has better explanatory ability than the model with daily data. In addition, in the face of the new crown epidemic, whether currency futures will produce risk aversion, according to the regression analysis of this study, the following conclusions can be drawn:
1. The regression analysis before and after the epidemic shows that the U.S. dollar, Euro and Australian dollar futures indexes all have significant explanatory levels and positive effects.
2. The Yen futures index did not have a significant level before the outbreak of the epidemic. Until the outbreak of the epidemic, the yen futures had a strong ability to explain risk aversion.
