管理期貨基金指數與股票、債券、匯率、商品與期貨市場指數之連動性研究

On study of relationship for Managed futures index with the stocks,bonds,exchange rates,commodities and futures market index.

劉欣潔(Hsin-Jie Liu)

指導教授 ： 倪衍森

共同指導教授 ： 吳曼華(Man-hwa Wu)

淡江大學/管理學院/管理科學研究所企業經營碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00114

摘要

管理期貨基金在過去的10年間，規模成長快速，整體規模由2000年的379億美元到2010年的2676億美元，成長幅度達706%；歷經幾次重大股災事件後，管理期貨基金運用計量模型多空可以操作的特性，使得績效呈現出優於股市的表現，過去以來價格走勢一直相當平穩，甚少有大漲大跌的情形。
本研究主要採用向量自我迴歸模型、共整合檢定和雙變量GARCH模型，以Barclay CTA指數代表管理期貨基金走勢，來探討1995年至2010年間，Barclay CTA指數與各股債指數、匯率、商品價格及期貨指數之間的關聯。
由Granger因果關係之實證結果發現，Barclay CTA指數與股債、商品與期貨指數不俱有雙向回饋關係，與台美匯率有單向因果關係，且Barclay CTA指數對台幣為負相關，代表管理期貨上漲對台幣而言，實屬不利之消息。而由波動性外溢效果之實證結果發現，就股市而言，Barclay CTA指數波動性會單向外溢至台股指數，而MSCI世界指數會單向外溢至Barclay CTA指數；就債市而言，Barclay CTA指數會單向外溢至全球債，而高收益債會單向外溢至Barclay CTA指數；就匯率而言，台美匯率會單向外溢Barclay CTA指數；就商品價格而言，Barclay CTA指數會單向外溢至原油；就期貨指數而言，CRB指數會單向外溢至Barclay CTA指數，因此Barclay CTA指數會受MSCI世界指數、高收益債券、台美匯率及CRB指數波動所影響，但影響程度不大，長期來看有助於投資組合的資產配置。

關鍵字

管理期貨基金 ； 投資組合 ； 資產配置 ； Granger因果關係 ； 雙變量GARCH模型

並列摘要

Managed futures funds in the past 10 years, the scale has increased rapidly, the overall size of the $ 37.9 billion in 2000 to $ 267.6 billion in 2010, a growth of 706%. After several major stock market crash incident, managed futures funds use econometric models can long and short operations, which the performance better than the stock market. Showing the performance of the past has been fairly stable price trend, rose fell seldom the case.
This study uses VAR models, cointegration test and the bivariate GARCH model, Barclay CTA index represents the managed futures fund movements, to explore the 1995 to 2010 between, Barclay CTA Index with the stock and bond indices, exchange rates, commodity prices, futures index correlation.
By the Granger causality of the empirical results, Barclay CTA Index with the stocks, bonds, commodities and futures index is not all two-way feedback relationship. Barclay CTA Index with Taiwan-US exchange rate, one-way causal relationship, and the negative correlation of NT, said that the Managed Futures rise on NT, the message for the adverse.
By the volatility spillover effect of the empirical results, the stock market is concerned, Barclay CTA index volatility spillover would be one way to Taiwan Stock Index, the MSCI World Index will be one-way spillover to the Barclay CTA Index; on the bond market is concerned, Barclay CTA index would be one-way spillover to the global bond and high yield bonds would be one-way spillover to the Barclay CTA index; on the exchange rate, the Taiwan-US exchange rate would be one-way spillover Barclay CTA index; on commodity prices in terms of, Barclay CTA index
will be a single to crude oil to spill; the futures index terms, CRB index will be one-way spillover to the Barclay CTA index, the Barclay CTA index is affected by the MSCI world index, high-yield bonds, Taiwan-US exchange rate fluctuations and the CRB index, but the effect is not large, long term portfolio asset allocation to help.

並列關鍵字

managed futures funds ； portfolios ； asset allocation ； Granger causality ； bivariate GARCH model

參考文獻

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