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題名 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貢獻者 沈中華
Shen, Chung Hua
盧冠誠
Lu, Kuan Cheng關鍵詞 外匯期貨
波動性
GARCH模型
Foreign exchange futures
Volatility
GARCH model日期 2007 上傳時間 6-May-2016 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 資料類型 thesis dc.contributor.advisor 沈中華 zh_TW dc.contributor.advisor Shen, Chung Hua en_US dc.contributor.author (Authors) 盧冠誠 zh_TW dc.contributor.author (Authors) Lu, Kuan Cheng en_US dc.creator (作者) 盧冠誠 zh_TW dc.creator (作者) Lu, Kuan Cheng en_US dc.date (日期) 2007 en_US dc.date.accessioned 6-May-2016 16:54:56 (UTC+8) - dc.date.available 6-May-2016 16:54:56 (UTC+8) - dc.date.issued (上傳時間) 6-May-2016 16:54:56 (UTC+8) - dc.identifier (Other Identifiers) G0094258006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94542 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 94258006 zh_TW dc.description.abstract (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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 謝辭 i 摘要 ii ABSTRACT iii 目錄 iv 表次 vi 圖次 vii 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構 3 第二章 文獻回顧 5 第一節 期貨交易將增加現貨波動性的理論與實證 5 第二節 期貨交易不會增加現貨波動性的理論與實證 6 第三節 文獻彙整與比較 7 第三章 以傳統標準差探討匯率現貨與期貨之波動性 10 第一節 韓國匯率走勢 11 第二節 巴西匯率走勢 15 第三節 俄羅斯匯率走勢 18 第四節 紐西蘭匯率走勢 24 第四章 研究方法 26 第一節 單根檢定 26 第二節 異質變異數檢定 28 第三節 一般化自我迴歸條件異質變異數模型 29 第五章 實證結果分析 33 第一節 資料說明與變數定義 33 第二節 單根與異質變異數檢定結果 34 第三節 單變量一般化自我迴歸條件異質變異數模型檢定結果 37 第四節 雙變量一般化自我迴歸條件異質變異數模型檢定結果 51 第六章 結論 55 參考文獻 58 表次 表2-1期貨交易將增加現貨波動性文獻彙整 8 表2-2期貨交易不會增加現貨波動性文獻彙整 9 表5-1 各國引入匯率期貨契約時間與樣本數 33 表5-2 各國匯率現貨原始收盤價與報酬率單根檢定 35 表5-3各國匯率期貨原始收盤價與報酬率單根檢定 35 表5-4各國匯率現貨報酬率LM檢定統計值 36 表5-5虛擬變數設定期間 37 表5-6 AR(1)－GARCH(1,1)－D1模型估計結果 40 表5-7 AR(1)－GARCH(1,1)－D2模型估計結果 41 表5-8 AR(1)－GARCH(1,1)－D3模型估計結果 42 表5-9 AR(1)－GARCH(1,1)－D4模型估計結果 43 表5-10 AR(1)－GARCH(1,1)－D5模型估計結果 44 表5-11 ARMA(1,1)－GARCH(1,1)－D1模型估計結果 45 表5-12 ARMA(1,1)－GARCH(1,1)－D2模型估計結果 46 表5-13 ARMA(1,1)－GARCH(1,1)－D3模型估計結果 47 表5-14 ARMA(1,1)－GARCH(1,1)－D4模型估計結果 48 表5-15 ARMA(1,1)－GARCH(1,1)－D5模型估計結果 49 表5-16不同模型下，開放外貨期貨交易會對現貨市場波動造成之影響 50 表5-17雙變量GARCH(1,1)模型估計結果 52 圖次 圖1-1研究流程圖 4 圖3-1 匯率報酬率標準差計算方式 11 圖3-2 韓國第一階段匯率報酬率 13 圖3-3 韓國第二階段匯率報酬率 13 圖3-4 韓國第一階段匯率報酬率標準差 14 圖3-5 韓國第二階段匯率報酬率標準差 14 圖3-6 巴西第一階段匯率報酬率 16 圖3-7 巴西第二階段匯率報酬率 16 圖3-8 巴西第一階段匯率報酬率標準差 17 圖3-9 巴西第二階段匯率報酬率標準差 17 圖3-10 俄羅斯第一階段匯率報酬率 20 圖3-11 俄羅斯第二階段匯率報酬率 20 圖3-12 俄羅斯第三階段匯率報酬率 21 圖3-13 俄羅斯第四階段匯率報酬率 21 圖3-14 俄羅斯第一階段匯率報酬率標準差 22 圖3-15 俄羅斯第二階段匯率報酬率標準差 22 圖3-16 俄羅斯第三階段匯率報酬率標準差 23 圖3-17 俄羅斯第四階段匯率報酬率標準差 23 圖3-18 紐西蘭匯率報酬率 24 圖3-19 紐西蘭匯率報酬率標準差 25 圖5-1虛擬變數設定圖示 38 圖5-2韓國雙變量GARCH(1,1)之條件變異數 53 圖5-3巴西雙變量GARCH(1,1)之條件變異數 53 圖5-4俄羅斯雙變量GARCH(1,1)之條件變異數 54 圖5-5紐西蘭雙變量GARCH(1,1)之條件變異數 54 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094258006 en_US dc.subject (關鍵詞) 外匯期貨 zh_TW dc.subject (關鍵詞) 波動性 zh_TW dc.subject (關鍵詞) GARCH模型 zh_TW dc.subject (關鍵詞) Foreign exchange futures en_US dc.subject (關鍵詞) Volatility en_US dc.subject (關鍵詞) GARCH model en_US dc.title (題名) 外匯期貨上市對現貨市場波動性之影響 zh_TW dc.title (題名) The Effect of Foreign Exchange Futures Trading on Spot Market Volatility en_US dc.type (資料類型) thesis en_US dc.relation.reference (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. zh_TW
