Title

芝加哥與南非期貨交易所市場大豆期貨價格波動溢出效應之關係研究

Translated Titles

A Study of Volatility Spillover Effects of Soybeans Futures between Chicago Board of Trade and South African Futures Exchange Markets

DOI

10.6342/NTU.2015.00584

Authors

金達愷

Key Words

. ; Volatility Spillover ; CBOT ; SAFEX ; TGARCH ; Soybean Futures

PublicationName

臺灣大學農業經濟學研究所學位論文

Volume or Term/Year and Month of Publication

2015年

Academic Degree Category

碩士

Advisor

吳榮杰

Content Language

英文

Chinese Abstract

.

English Abstract

Abstract Volatility spill-over is the amount of volatility that spills over from an international market to a local market. The study of volatility spillovers provides useful insights, as a form of price discovery, into how information is transmitted from one agriculture commodity exchange market to the other exchange market and vice versa. This paper explores volatility spillovers of Soybean Futures Contract Prices between the Chicago Board of Trade and South African Futures Exchange markets. The objective of the study was to examine the relationship and volatility spillovers of soybean futures prices between SAFEX and CBOT by demonstrating the return and volatility spillover effects between the two markets. The period under study is from December 2005 to April 2015. This task was accomplished by applying the, the Granger Causality Test and the diagonal BEKK-GARCH and TGARCH models, within an autoregressive framework. The results indicate that there exists a volatility spillover between the two markets. The findings suggest that there is a bidirectional volatility spillover between the Chicago Board of Trade and South African Futures Exchange market. The results of significant bidirectional volatility spillover suggest that there is an information flow (transmission) between these two markets and both these markets are integrated with each other. Accordingly, Soybean Futures market participants can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolios.

Topic Category 生物資源暨農學院 > 農業經濟學研究所
生物農學 > 農業
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