外匯期貨上市對現貨市場波動性之影響

Abstract

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。\r\n\r\n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：\r\n\r\n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。\r\n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.\r\n\r\nThis 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:\r\n\r\n1. 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.\r\n\r\n2. The futures volatility does not affect the spot volatility in Korea, Brazil, Russia, and New Zealand.