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    题名: 外匯期貨上市對現貨市場波動性之影響
    The Effect of Foreign Exchange Futures Trading on Spot Market Volatility
    作者: 盧冠誠
    Lu, Kuan Cheng
    贡献者: 沈中華
    Shen, Chung Hua
    盧冠誠
    Lu, Kuan Cheng
    关键词: 外匯期貨
    波動性
    GARCH模型
    Foreign exchange futures
    Volatility
    GARCH model
    日期: 2007
    上传时间: 2016-05-06 16:54:56 (UTC+8)
    摘要: 本研究目的在於探討韓國、巴西與俄羅斯等實施外匯管制的國家，其上市本國貨幣匯率期貨對該國外匯市場之影響。及小型開放經濟的紐西蘭，在CME上市的美元/紐幣匯率期貨後，對該國外匯市場之影響。以加入虛擬變數單變量GARCH模型探討匯率期貨成立期間對匯率現貨的波動性是否會產生影響；以雙變量GARCH模型探討匯率期貨波動是否會對匯率現貨波動造成影響。

    研究期間乃以各國引入匯率期貨契約的基準日之下，前後各兩年的匯率日報酬率資料。實證結果顯示：

    一、韓國、巴西與俄羅斯，其開放匯率期貨交易後反而會降地現貨市場的波動，但小型開放經濟的紐西蘭，在CME上市的美元/紐幣匯率期貨後，會增加現貨市場的波動。
    二、以上四個國家其外匯現貨市場的波動並不會受外匯期貨市場波動的影響。
    The objective of this study is to evaluate the impact upon foreign exchange markets for exchange control countries as Korea, Brazil, and Russia when foreign exchange futures was introduced, and small-scale open economy as New Zealand when foreign exchange futures was introduced in CME. This study was an application of univariate and bivariate GARCH models to investigate the effect of foreign exchange futures trading and volatility on spot market volatility.

    This study utilized the daily foreign exchange rate return series based on foreign exchange futures introduced with the former and latter two years. The empirical results are as follows:

    1. The spot volatility decreases significantly after foreign exchange futures trading in Korea, Brazil, and Russia. The spot volatility increases significantly after foreign exchange futures trading in New Zealand.

    2. The futures volatility does not affect the spot volatility in Korea, Brazil, Russia, and New Zealand.
    參考文獻: 一、中文部份

    1．田佳弘 (2000)，「台灣股價指數期貨交易對股票價格波動之影響－以TAIFEX和SIMEX兩市場分析」，中原大學企業管理學系碩士論文。

    2．吳一平 (1998)，「SIMEX台股指數期貨上市前後台灣股市成交量及報酬率變動之研究」，國立中興大學企業管理學系碩士論文。

    3．沈中華和王儷容 (1994)，「咖啡期貨市場效率性檢定」，中國財務學刊，2(1),17-32。

    4．游兆源 (1999)，「台股指數期貨上市對台灣股市的波動性影響」，國立台北大學企業管理學系碩士論文。


    二、英文部分

    1．Antoniou, A. and P. Holmes (1995), “Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH,” Journal of Banking and Finance, 19, 117-129.

    2．Bessembinder, H. and P. J. Seguin (1992), “Futures-Trading Activity and Stock Price Volatility,” Journal of Finance, 47(5), 2015-2034.

    3．Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroscedasticity,”Journal of Econometrics, 31, 307-327.

    4．Bollerslev, T., R. Y. Chou, and K. F. Kroner
    (1992), “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics, 51, 5-59.

    5．Bollerslev, T., R. F. Engle, and J. M. Wooldridge (1988), “A Capital Asset Pricing Model with Time-Varying Covariances,” Journal of Political Economy, 96(1), 116-131.

    6．Bologna, P. and L. Cavallo (2002), “Does the Introduction of Stock Index Futures Effectively Reduce Stock Market Volatility? Is the ‘Futures Effect’Immediate? Evidence from the Italian Stock exchange Using GARCH,” Applied Financial Economics, 12, 183-192.

    7．Cox, C. C. (1976), “Futures Trading and Market Information,” Journal of Political Economy, 84(6), 1215-1237.

    8．Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of Untied Kingdom Inflation,” Econometrica, 50(4), 987-1007.

    9．Engle, R. F. and K. F. Kroner (1995), “Multivariate Simultaneous GARCH,”Econometric Theory, 11, 122-150.

    10．Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 2, 111-120.

    11．Jochum, C. and L. Kodres (1998), “Does the Introduction of Futures on Emerging Marker Currencies Destabilize the Underlying Currencies?” IMF Staff Paper,
    45(3), 486-521.

    12．Lee, S. B. and K. Y. Ohk (1992), “Stock and Index Futures Listing and Structure Change in Time-Varying Volatility,” Journal of Futures Markets, 12, 493-509.

    13．Maberly, E.D. (1987), “An Analysis of Trading and Nontrading Period Returns for the Value Line Composite Index: Spot versus Futures,” Journal of Futures Markets, 7, 497-500.

    14．Martin, J. and A. Senchack (1991), “Index of Futures, Program Trading, and the Covariability of the Major Index Stocks,” Journal of Futures Markets, 11, 95-111.

    15．Pericli, A. and G. Koutmos (1997), “Index Futures and Options and Stock Market Volatility,” Journal of Futures Markets, 17, 957-974.

    16．Said, S. E. and D. A. Dickey (1984), “Testing for Unit Root in Autoregressive Moving Average Models of Unknown Order,” Biometrika, 7, 599-607.

    17．Wu, R. S. (2001), “A Study of Newly Published Contract of Futures on the Volatility of the Spot Market,” Journal of Business Administration, 51, 1-25.
    描述: 碩士
    國立政治大學
    經濟學系
    94258006
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094258006
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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