摘 要 本文探討農產品的咖啡期貨,以紐約期貨交易所的紐約阿拉比卡(Arabica)咖啡豆期貨和倫敦國際金融期貨交易所的倫敦羅布斯塔(Robusta)咖啡豆期貨兩種商品為研究標的,選取2011年1月1日到2015年12月31日的國際咖啡期貨價格的收盤價,運用平均日報酬、月報酬和風險值的分析,探討咖啡期貨的投資報酬率與風險值。 在全球咖啡豆供需情形方面,巴西與美國分別為2013年全球主要前十大咖啡出口國與進口國首位。在日報酬、月報酬方面,紐約阿拉比卡(Arabica)咖啡豆期貨在日報酬和月報酬率都來得比倫敦羅布斯塔(Robusta)咖啡豆期貨來的低,在風險值方面,阿拉比卡咖啡豆的風險值比羅布斯塔咖啡豆來的高,羅布斯塔咖啡豆的風險值比較低。 結果顯示,無論在報酬率或是風險值上,倫敦羅布斯塔(Robusta)咖啡豆期貨都優於紐約阿拉比卡(Arabica)咖啡豆期貨,因此建議咖啡期貨投資者在選擇咖啡豆期貨商品投資時,可選擇倫敦羅布斯塔(Robusta)咖啡豆期貨來作為投資對象。
This paper discusses agricultural commodity futures, Arabica coffee bean future in New York Board of Trade(NYBOT) and Robusta coffee bean future in London International Financial Futures and Options Exchange(LIFFE) as the subject and using Bloomberg database for selection of the closing prices between January 1, 2011 to December 31, 2015 a total of four years of daily and monthly data to discuss coffee future’s return on investment and the VaR. Brazil and the United States in 2013 are the first of the world’s top ten major coffee exporting and importing countries. In terms of daily and monthly and annual returns, New York’s Arabica coffee bean future is trading at a lower daily and monthly return than Robusta coffee bean’s future. In terms of the VaR, Arabica coffee bean future is higher than the Robusta coffee bean future. In terms of return or risk, Robusta coffee bean future in London is better than Arabica coffee bean future in New York. Therefore, the proposed coffee futures investors in the choice of investment in coffee bean future products, you can choose Robusta coffee bean future in London as an investment object.