本研究旨在探討台股期貨應用於高股息ETF投資組合之避險績效，並比較不同避險模型在各類市場情境下之適用性與效果。研究以元大台灣50 ETF作為模擬現貨投資組合，並以台指期貨作為避險工具，蒐集2020年1月1日至2025年12月31日之日收盤價資料，將價格轉換為報酬率後進行實證分析。研究期間涵蓋COVID-19疫情、全球升息循環及川普2.0貿易關稅等重大事件，可用以觀察不同波動環境下之避險成效。研究方法採用簡單避險法、最小平方法（OLS）及GARCH模型估計避險比率，並以變異數縮減與風險調整後報酬作為績效衡量指標。實證結果顯示，元大50與台指期貨之價格及報酬率具有高度連動性，顯示台指期貨具備良好避險基礎；導入期貨避險後，投資組合報酬波動可明顯下降。其中，OLS與GARCH模型在避險比率估計與風險降低效果上普遍優於簡單避險法，但在提升風險調整後報酬方面則未必顯著。整體而言，台指期貨可有效降低高股息ETF投資組合之系統性風險，並提升投資組合穩定性。;This study investigates the hedging performance of Taiwan stock index futures when applied to a high-dividend ETF portfolio and compares the applicability and effectiveness of different hedging models under various market conditions. The study uses the Yuanta Taiwan 50 ETF as the simulated spot portfolio and Taiwan stock index futures as the hedging instrument. Daily closing price data from January 1， 2020， to December 31， 2025， are collected and converted into returns for empirical analysis. The sample period covers major market events， including the COVID-19 pandemic， the global interest rate hike cycle， and Trump 2.0 tariff shocks， allowing observation of hedging effectiveness across different volatility environments. The study employs the naïve hedging model， the ordinary least squares (OLS) model， and the GARCH model to estimate hedge ratios， while hedging performance is evaluated using variance reduction and risk-adjusted returns. The empirical results show that the Yuanta Taiwan 50 ETF and Taiwan stock index futures exhibit a high degree of price and return co-movement， indicating that stock index futures provide a solid basis for hedging. After introducing futures hedging， portfolio return volatility declines significantly. Among the models， the OLS and GARCH approaches generally outperform the naïve hedging model in estimating hedge ratios and reducing risk; however， their ability to improve risk-adjusted returns is not always significant. Overall， Taiwan stock index futures can effectively reduce the systematic risk of high-dividend ETF portfolios and enhance portfolio stability.
