美國黃金期貨與現貨之門檻效果互動關係研究

Threshold Effect in Relationship between Gold Spot and Gold Futures in U.S.A.

蔡明峰(Ming-Feng Tsai)

指導教授 ： 聶建中 ； 王友珊

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00135

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。

關鍵字

黃金期貨 ； 黃金現貨 ； 門檻自我迴歸 ； 門檻誤差修正模型

並列摘要

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.

並列關鍵字

Gold Spot ； Gold Futures ； Threshold autoregressive model ； TAR ； Momentum-Threshold Autoregressive Model ； M-TAR

參考文獻

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.