農產期貨市場之波動性外溢效果—以穀物期貨、軟性商品期貨與摩根史丹利全球指數市場為例

Volatility Spillover Effect In The Agriculture Futures Markets— In the Perspectives of Grain、Soft and MSCI Markets

陳宥儒(You-Ru Chen)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2009年)

https://doi.org/10.6840/cycu200900908

摘要

摘要

在全球衍生性金融商品的迅速發展下，不同資產與市場之間的波動性外溢效果逐漸成為研究重點。近年來隨著全球市場中國際油價與原物料價格的高漲，全球資金逐漸轉進農產品期貨市場，使得農產品期貨成為避險與投機套利的重要金融商品。因此，本研究以EGARCH模型與VAR-EGARCH模型來探討七項穀物期貨與六項軟性商品期貨，以及八項摩根史丹利全球農產與食物鏈指數現貨之間的波動性外溢效果。本研究之結論歸納如下：
1. EGARCH模型之誤差程度較高，易導致研究結果不正確。此外，VAR- EGARCH模型則能夠減少誤差並提高實證結果之正確度。
2. 穀物期貨部份，七項期貨皆與MSCI現貨的每日報酬之間有顯著地波動外溢效果。而財務槓桿效果依序為燕麥、玉米、稻米、黃豆、小麥、黃豆粉、黃豆油。
3. 軟性商品期貨部份，同樣的，六項期貨與MSCI現貨兩者之間有顯著波動性外溢效果。財務槓桿效果依序為糖、咖啡、木材、可可、棉花、橘子汁。
4. MSCI農產與食物鏈指數部份，這八項MSCI農產與食物鏈指數均對農產品期貨有波動性外溢效果。
5. 有別於過往研究，本研究發現燕麥與稻米以及糖期貨，和MSCI現貨之間有明顯的相關性，且風險溢酬效果亦較好。

關鍵字

VAR-EGARCH模型，摩根史丹利全球指數，波動性外溢效果。

並列摘要

Abstract

As the global financial derivatives have rapidly grown for the past decades, the study of volatility spillover effect among different properties and that among different markets became very popular. Along with the prices of oil and original material rose sharply in the international market, the global funds flow into the agricultural futures markets, so that the agricultural futures become essential as the investors use these products for hedging and arbitraging. This study examines volatility spillover effects among seven grain futures, six soft commodity futures and eight MSCI world agricultural and food chain indices employing the EGARCH model and the VAR-EGARCH model. The empirical results are summarized below:
1. The EGARCH model has a high extent of error which causes the bias in final result. However, the VAR-EGARCH model reduces error and enhances the accuracy.
2. Regarding the grain futures, there are significant volatility spillover effects among seven futures and all MSCI indices. The ranking order of financial leverage for the grain futures is as follows: oats, corn, rice, soybean, wheat, soybean meal and soybean oil.
3. Concerning the soft commodity futures, there are also significant volatility spillover effects among six futures and all MSCI indices. The ranking order of financial leverage for the soft commodity futures is as follows: sugar, coffee, lumber, cocoa, cotton and orange juice.
4. Regarding the MSCI index, there is a significant volatility spillover effect between each agriculture futures and MSCI index.
5. This study also finds that there are significant relationship and risk premium effects among oats, rice, sugar futures and MSCI indices.

並列關鍵字

MSCI ； VAR-EGARCH model ； risk premium effect and volatility spillover effect.

參考文獻

Information in Corn Futures Markets”, Journal of Multinational Financial

Management, Vol. 7, 175–187.

Spillovers in Sandinavian Stock Markets.” Journal of Banking & Finance, Vol.21, 811–823.

Estimation and Inference in Dynamic Models with Time-varying Covariances”,

Econometric Reviews, Vol. 11, 143–172.