- 學位論文
倉儲理論與貴重金屬價格波動性
Theory of Storage and the Volatility of Precious Metals Prices
摘要
根據倉儲理論指出便利收益與存貨水平呈現負相關，此外當存貨水平高時，現貨價格與期貨價格之波動幅度相似，然而當存貨水平低時，現貨價格之波動幅度大於期貨價格之波動幅度。本研究沿用Fama and French (1988) 所採用之迴歸分析及Ng and Pirrong (1994) 所提出之雙變量的GARCH模型驗證倉儲理論假說。研究對象主要為2000年至2009年之黃金、白金與鈀金商品。由於商品存貨量之資料不易取得，因此沿用Fama and French及Ng and Pirrong所提出之利率調整後基差做為存貨的代理變數。最後，本研究利用向量誤差修正模型探討貴重金屬間之互動關係。 實證結果發現，不論在迴歸分析或是雙變量GARCH模型，貴重金屬大致不支持倉儲理論之假說。造成此結果的主要原因可分為: (1) 投資者將貴重金屬視為價值儲藏之商品，因此當需求/供給衝擊發生時，高的存貨水平可消除衝擊所產生之價格變動；(2) 倉儲成本在貴重金屬價值上的比例相對低。在探討貴重金屬間的互動關係上，黃金皆會顯著且正向影響白金與鈀金的價格，此外白金價格與鈀金價格亦會互相影響彼此間的價格。
並列摘要
The theory of storage states that the correlation between inventory and convenience is negative. The theory of storage also implies that spot prices have higher volatility than futures prices when inventory is low, but spot and futures prices have similar volatility when inventory is high. In this study, we use regression and bivariate GARCH model suggested by Fama and French (1988) and Ng and Pirrong (1994) to test the theory of storage. The sample of the study includes gold, platinum and palladium futures and spot prices between 2000 and 2009. Because inventory data of the above-mentioned commodities are difficult to obtain, we used interest-storage-adjusted spread as a proxy variable for inventory to test the aforementioned implication for precious metals. Finally, we used Vector Error Correction Model (VECM) to analyze the price relationship between gold, platinum and palladium. The results show that the pricing behavior of precious metals is not consistent with the theory of storage in both regression and bivariate GARCH runs. The reason might be attributed to that investors hold large inventories of precious metal as a store of value and storage costs for the precious metals are low relative to their values. Moreover, gold prices have significant and positive influence on platinum and palladium prices, while platinum and palladium prices also interact with each other.
參考文獻
延伸閱讀
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