農產品與貴金屬期貨價格的長記憶性質檢定

Long memory test in futures prices of agricultural products and precious metals

連翊傑(Yi-Chieh Lien)

指導教授 ： 林建志 ； 廖美華

亞洲大學/管理學院/財務金融學系/碩士(2011年)

摘要

本研究探討長記憶性質是否存在於農產品(黃豆、小麥、玉米、棉花)與貴金屬(白金、白銀、銅)期貨價格的日報酬率與日波動率。資料選取根據(TEJ)經濟新報，農產品樣本為黃豆、小麥、玉米、棉花之每日期貨價格，來源為CBOT芝加哥近期價(美分/英斗)，棉花來源為紐約期貨近期價(美分/磅)。貴金屬樣本為黃金、白銀、銅之每日期貨價格，來源為紐約白金、白銀、銅期貨價格(美元/英兩)。研究方法利用Lo (1991)修正後的R/S分析法與 Giraitis et al.(2003)的V/S分析法來檢定時間序列的長記憶性質，實證結果發現農產品與貴金屬期貨的日報酬率不具有長記憶性質，但波動率則具有顯著的長記憶性質，本研究結果可讓農產品與貴金屬的期貨避險者作為未來避險的參考。

關鍵字

長記憶 ； 期貨價 ； 貴金屬 ； 農產品

並列摘要

The present study investigates the nature of the existence of long memory in agricultural products’ (soybeans, wheat, corn, and cotton) and precious metals’(platinum, silver, and copper) futures price at the daily return and volatility. The data are obtained from the Taiwan Economics Journal database. The agricultural sample collected consists of soybeans, wheat, corn, and cotton, whereas the precious metals sample consists of platinum, silver, and copper. The source for these data is CBOT and NYMEX. We test for the long memory in the daily returns and daily volatility using the modified rescaled range statistic R/S proposed by Lo (1991) and the rescaled variance V/S statistic developed by Giraitis et al. (2003). Empirical results show that agricultural products’ and precious metals’ futures daily return rate does not characterize the nature of a long memory, but volatility has a significant long memory. The findings of the current work provide a basis for agricultural products and precious metals in serving as the hedge futures.

並列關鍵字

long memory ； futures price ； agricultural products ； precious metals

參考文獻

14.楊奕農、周恆志、巫春洲，2008，農産品期貨價格波動性的到期效應與交易量效應。「農業經濟叢刊」，第十四卷第一期，頁83-110。

16.蔡垂君，2006，緩長記憶模式應用於新加坡摩根台灣股價指數期貨之研

1. Assaf, A., 2008, Long memory in international equity markets, Applied Financial Economics Letters, 4(6), pp. 433-437.

2. Cheung, Y. W. & K. S. Lai, 1993, Do gold market returns have long memory?, The Financial Review, 28, pp. 81-202.

3. Giraitis, L., Kokoszka, P. S. Leipus, R. & G. Teyssiere, 2003, Rescaled variance and related tests for long memory in volatility and levels, Journal of Econometrics, 112, pp. 265-294.