美國總統大選對期貨市場波動性之關聯性的影響

The Impact of the United States Presidential Elections on the Connectedness of Volatility in the Futures Market

林沛緹(Pei-Ti Lin)

指導教授 ： 牟萬馨

中原大學/商學院/財務金融研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700595

摘要

本研究使用S&P 500指數期貨、債券期貨、美元指數期貨、石油期貨、黃金期貨以及玉米期貨的價格計算波動性，先利用VAR架構下的變異數分解法，再運用Diebold and Yilmaz(2013，2015)與Demirer et al.(2017)所使用關聯性的方法做計算，接著探討美國總統大選對期貨市場波動性之關聯性的影響。政治事件如總統選舉事件容易引起投資人對市場的恐慌，進而影響投資人在市場上的交易行為，使得金融市場及非金融市場受到衝擊，因此造成資產的價格發生變化連帶著市場的波動性。最後討論2004年、2008年與2012年這三次總統大選前後一年在六個期貨市場上的波動性之關聯性，因此主要研究期間分別為2003年至2005年、2007年至2009年以及2011年至2013年。
根據研究結果顯示六個期貨市場波動性之間的總關聯性在總統大選後都是減少的，所以由此可以得知六個期貨市場波動性之總關聯性在選舉後下降確實會受到總統大選的影響。而當兩位總統候選人之間平均民調支持率之差異越小時，政治不確定性越高，六個期貨市場在總統選舉後波動性之間的流入(出)關聯性大部分也都是降低的，從這可以發現波動性之間的流入(出)關聯性會受到總統大選的影響進而衝擊到其他的市場。

關鍵字

總統大選(總統選舉) ； 波動性 ； 關聯性

並列摘要

This study calculates volatilities by focusing on the S&P 500 index futures, bond futures, US dollar index futures, crude oil futures, gold futures and corn futures prices. We use the method of variance decomposition under the VAR framework and then employ the way of connectedness which is conducted by Diebold and Yilmaz (2013, 2015) and Demirer et al. (2017) in order to explore the impact of the United States presidential elections on the connectedness of volatility in the above six futures market. Political events such as the presidential election easily cause investors to panic in the stock market, and in turn affect the trading behaviors of investors in the other markets – i.e., the bond, exchange rates, precious metal, energy, and non-energy markets. Finally, we discuss the connectedness of volatility in the six futures markets in one year before and after the three presidential elections in 2004, 2008 and 2012, respectively, so the main research periods are from 2003 to 2005, 2007 to 2009 and 2011 to 2013.
According to the results of the study, the total connectedness of the volatility in the six futures markets decreases after the presidential elections. This fall in total connectedness appears to be influenced by the presidential elections. Moreover, the empirical evidence show that the smaller the difference of average polling support rate between the two presidential candidates, the higher the political uncertainty is, and hence the from (to) others connectedness of the volatility in the six futures markets over the pre-presidential election period is lower than the connectedness over the post-presidential election period. It can be seen that not only the from (to) others connectedness of the stock market volatility is influenced by the presidential elections, but also are the other related markets.

並列關鍵字

Presidential Election ； Volatility ； Connectedness

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