系統識別號 | U0002-0709200614144800 |
---|---|
DOI | 10.6846/TKU.2006.00135 |
論文名稱(中文) | 美國黃金期貨與現貨之門檻效果互動關係研究 |
論文名稱(英文) | Threshold Effect in Relationship between Gold Spot and Gold Futures in U.S.A. |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士在職專班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 94 |
學期 | 2 |
出版年 | 95 |
研究生(中文) | 蔡明峰 |
研究生(英文) | Ming-Feng Tsai |
學號 | 792490178 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2006-06-17 |
論文頁數 | 29頁 |
口試委員 |
指導教授
-
聶建中
指導教授 - 王友珊 委員 - 張倉耀 委員 - 蕭峰雄 委員 - 聶建中 委員 - 王友珊 委員 - 盧揚正 |
關鍵字(中) |
黃金期貨 黃金現貨 門檻自我迴歸 門檻誤差修正模型 |
關鍵字(英) |
Gold Spot Gold Futures Threshold autoregressive model TAR Momentum-Threshold Autoregressive Model M-TAR |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
在油價只漲不跌的預期下,如何運用黃金現貨與黃金期貨避險成為現在的當務之急,且在財務理論之持有理論(cost of carry)中,現貨與期貨存在一定之相關性。因此,本研究進行探討黃金現貨與黃金期貨的關聯性分析。另外,近年來實證及學理探討,認為金融商品間之互動,經過一段時間過程,常可能存在與時而變(time-varying)的非線性相關或時間點結構性之變化。因此,本研究將以近年由Enders and Granger(1998)及Enders and Siklos(2001)所發展的門檻自我迴歸模型(Threshold autoregressive model, TAR),及動差門檻自我迴歸模型(Momentum-Threshold Autoregressive Model, M-TAR),來進行黃金期貨與黃金現貨的非線性門檻關係探討,除此之外,並進一步利用門檻誤差修正模型(Threshold Error-Correction Model, TECM),關察兩金融商品間長短期非對稱之互動關係,以期作為高油價時代,黃金避險商品之投資策略參考。 本研究發現,當黃金期貨與現貨之間的長期均衡關係呈現偏離時,皆由現貨市場進行價格之調整以回復長期均衡之狀態。另外,不論是針對長期或是短期,期貨價格均領先現貨價格,突顯出期貨價格具有價格發現之特性,而當長期均衡關係偏離程度大於門檻值時,期貨與現貨之間則是具有回饋效果。 |
英文摘要 |
This paper proposes how to hedge with gold sopt and gold futures while oil price goes to the roof. Spot and futures have relationship based on the theory: cost of carry. And we try to find out more about the relationship between gold spot and gold futures. Furthermore, both academic research and practical evidence show that after a period of time, financial products exist time-varying non-linear correlation and structure changes. This paper, therefore, tries to realize the non-linear correlation Threshold between gold spot and gold futures with Threshold autoregressive model, TAR and Momentum –Threshold autoregressive model, MTAR, by Enders and Granger (1998). Moreover, with the Threshold Error-Correction Model, TECM, we can monitor gold spot and gold futures asymmetry in short and long terms. We therefore expect the result can give us a reference to hedge the high oil price with gold spot and gold futures. This paper finds when the long-term equilibrium of gold spot and gold futures derails, gold spot price will adjust itself to recover long-term equilibrium. Besides that, gold futures price always leads the way ahead of gold spot price in the short and the long run, and this indicates that the futures price got price discovery function. When long term equilibrium derails to the level which is more than its threshold value, there’s feedback effect between gold spot and gold futures prices. |
第三語言摘要 | |
論文目次 |
第一章 緒論............................................1 第一節 研究背景與動機..................................1 第二節 研究目的........................................5 第二章 文獻探討........................................7 第三章 資料來源與分析..................................9 第四章 研究方法.......................................10 第五章 實證結果與分析.................................19 第六章 結論...........................................24 參考文獻..............................................26 表1: PP與KPSS單根檢定…………………………………………..19 表2:黃金現貨與期貨門檻共整合檢定………………………………20 表3:黃金現貨與期貨誤差修正模型之估計…………………………21 表4:黃金現貨與期貨長短期因果檢定………………………………22 |
參考文獻 |
Balke, N. S., and T. Fomby (1997), “Threshold cointegration,” International Economic Review, 38, 624-643. Bertus, Mark and Bryan Stanhouse (2001), “Rationale Speculative Bubbles in the Gold Futures Market: An Application of Dynamic Factor Analysis”, Journal of Futures Markets, 21(1), 79-108 Bhar, Ramaprasad and Shigeyuk Hamori (2004), “Information Flow between Price Change and Trading Volume in Gold Futures Contracts “,; International Journal of Business and Economics, 3( 1), 45-56 Bohl, Martin T. and Pierre L. Siklos, (2004) “The present value model of U.S. stock prices redux: a new testing strategy and some evidence,” The Quarterly Review of Economics and Finance, 44, 208–223 Cai, Jun and Yan-Leung Cheung and Michael C. S Wong (2001), “What Moves the Gold Market?”, Journal of Futures Markets, . 21.(3) ,257-78 Campbell, J.Y., and P. Perron, (1991), “Pitfalls and opportunities: what macroeconomists should know about unit roots,” NBER Macroeconomics Annual, 141-201. Chan, K.S. (1993), “Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model,” The Annals of Statistics, 21, 520-533. Chang, T.Y., and C.C. Nieh (2004), “Using Threshold Error-Correction Model to Investigate Asymmetric Price Transmissions between the Real Estate and Stock Markets in Taiwan,”第五屆全國實證經濟學論文研討會光碟論文集,逢甲大學。 Chang, Tsangyao, Chien-Chung Nieh and Yao-Men Yu, (2004) “Using Threshold Error-Correction Model to Investigate Asymmetric Price Transmissions between the Real Estate and Stock Markets in Taiwan,” (The Global Business Economics Research Conference),(Istanbul/Turkey) Citak, Serdar (1999), “World Gold Markets, Istanbul Gold Exchange and Gold in Risk Management”, ISE Review, 3(12), 51-87 Coakley, Jerry and Ana-Maria Fuertes, (2002) “Asymmetric dynamics in UK real interest rates,” Applied Financial Economics, 12, 379-387 Cook, Steven, (2003) “The properties of asymmetric unit root tests in the presence of mis-specified asymmetry,” Economics Bulletin, 3(10), 1-10 Cook, Steven, (2004) “A momentum-thresholdautoregressive unit root test with increasedpower,” Statistics and Probability Letters, 67, 307-310 Dhillon, Upinder S., Dennis J. Lasser and Taiji Watanabe (1997), “Volatility, Information, and Double versus Walrasian Auction Pricing in US and Japanese Futures Markets”, Journal of Banking and Finance, 21(7), 1045-61 DibooĞlu, Selahattin and Walter Enders, (2001) “Do Real Wages Respond Asymmetrically to Unemployment Shocks? Evidence from the U.S. and Canada,” Journal of Macroeconomics,” 23(4), 495–515 Enders, Walter, (2001) “Improved critical values for the Enders-Granger unit-root test,” Applied Economics Letters, 8, 257-261 Enders, W. (2004), “Applied Econometric Time Serirs,” Wiley, 2nd ed. Enders, Walter and Selahattin DibooĞlu, (2001) “Long Run Purchasing Power Parity with Asymmetric Adjustment,” Southern Economic Journal, 68(2), 433-445 Enders, W., and C. W. F. Granger (1998), “Unit-root tests and asymmertric adjustment with an example using the term structure of interest rates,” Journal of Business Economics & Statistics, 16, 304-311. Enders, W., and P. L. Siklos (2001), “Cointegration and Threshold Adjustment,” Journal of Business Economics & Statistics, 19, 166-167. Engle, R. and C. Granger (1987), “Co-Integration and Error Correction: Representation, Estimation and Testing,” Econometrica, 55, 251-276. Followill, Richard A.and Billy P Helms (1990),”Put-Call-Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts”, Journal of Futures Markets, 10(4), 339-52 Granger, C. W. J. (1981) “Some properties of time series date and their use in econometric model specification,” Journal of Econometrics, Granger, 16, 121-130. Granger, C. W. J. (1988), “Some Recent Developments in a Concept of Causality,” Journal of Econometrics, 39, 199-211. Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 2, 111-120. Granger, C.W.J. and T. Terasvirta (1993), Modelling Nonlinear Economic Relationships, Oxford University Press, Oxford. Grudnitski, Gary and Larr Osburn (1993), “Forecasting S&P and Gold Futures Prices: An Application of Neural Networks “,Journal of Futures Markets, 13(6), 631-43 Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12, 231-254. Kutan, Ali M. and Tansu Aksoy (2004), “Public Information Arrival and Gold Market Returns in Emerging Markets: Evidence from the Istanbul Gold Exchange”, Scientific Journal of Administrative Development, 2, 13-26 Kwiatkowski, D., P. Phillips, P. Schmidt and Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root ?” Journal of Econometrics, 54, 159-178. Lauterbach, Beni and Margaret Monroe (1989), “Evidence on the Effect of Information and Noise Trading on Intraday Gold Futures Returns”, Journal of Futures Markets, 9(4), 297-305 Mani, Ganesh S., Srivyal Vuyyuri and Istrazivanja Ekonomska (2003), “Gold Pricing in India: An Econometric Analysis”, Economic Research, 16 (1), 29-44 Melvin, Michael and Jahangir Sultan (1990), “South African Political Unrest, Oil Prices, and the Time Varying Risk Premium in the Gold Futures Market”, Journal of Futures Markets, 10(2), 103-11 Menezes, Rui, Andreia Dionisio and Diana A. Mendes, (2004) “Asymmetric price transmission within the Portuguese stock market,” Physica-A, 344, 312-316 Mishra, Banamber and Matiur Rahman (2005), “The Dynamics of Bombay Stock, US Stock and London Gold Markets”, Indian Journal of Economics and Business, 4(1), 151-60Newey, W., and West K.(1987), “A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,” Econometrica, 55, 703-708. Neely, Christopher J. (2003),”Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly? “, Federal Reserve Bank of St. Louis, Working Papers: 2003-018 Nelson, Charles and Charles Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10, 130-162 Nieh, C.C., W.C. Liu and C.C. Fang (2005), “Asymmetric Causal Relationship between Stock Price and Exchange Rate in Taiwan—Threshold ECM Analysis,” Thirteen Conference on Pacific Basin Business Economics and Finance, 6/10-11, Rutgers University, NJ, U.S.A. Phillips, P. C. B. and P. Perron (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 335-346. Poitras, Geoffrey (1990), “The Distribution of Gold Futures Spreads”, Journal of Futures Markets, 10( 6), 643-59 Schwert, G. W. (1989), “Tests for Unit Roots: A Monte Carlo Investigation,” Journal of Business and Economic Statistics, 7, 147-159 Seo Byeongseon, (2003) “Nonlinear mean reversion in the term structure of interest rates,” Journal of Economic Dynamics and Control 27, 2243-2265 |
論文全文使用權限 |
如有問題,歡迎洽詢!
圖書館數位資訊組 (02)2621-5656 轉 2487 或 來信