指數型商品期貨市場到期日效應之實證研究：以東亞市場為例

Maturity Effects on Index’s Future Exchange–Evidences from Eastern Asian Markets

邱勝雄(Sheng-hsiung Chiou)

指導教授 ： 李見發 ； 邱國欽

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

東亞各國多次金融重大事件後，如「東南亞金融風暴」、「金融海嘯」等事件後，投資者在避險策略與風險控管上變得更為重要。本文因此對東亞指數期貨市場進行「到期效應」與「轉倉效應」實證研究。資料取自Datastream資料庫，以東亞18個指數型商品期貨市場收盤資料進行實證研究，樣本期間從2000年1月3日至2008年12月31日止。以GARCH(1,1)加入到期效果(time to maturity)進行實證分析，經實證發現以下二種結果：(1)東亞國家大多數的市場在短期內存在著到期效應，與Samuelson(1965)的所提出的觀點相符。(2)東亞國家大多數的指數型商品期貨市場無論是以長、短期的觀點來看，皆會出現提前轉倉的情形，此與Samuelson(1965)提出在期貨契約在到期當天價格波動度會達最大的結果相異。

關鍵字

到期效應 ； 轉倉效應 ； GARCH模型

並列摘要

East Asian countries suffer from “Asia financial crisis” and “financial flood” events. After these events, the hedging strategy and the risk control become more important to investors. This present study empirically investigates maturity effect and switch position effect in the index’s futures markets of east Asian countries by employing GARCH(1,1) model with time to maturity. The data is drawn from the Datastream database and the sample covers the period from January 3, 2000 to December 31, 2008. Empirically, we find that maturity effect exist in most of the index’s futures markets of east Asian countries. On the contrary, we can not find that the price volatility reaches the maximum on the expiration date. This is different from those in Samuelson 1965).

並列關鍵字

GARCH Model ； Switch Position Effect ； Maturity Effect

參考文獻

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