黃金期貨報酬、波動和交易活動門檻共整合與動態關係

Threshold Cointegration and the Dynamics of Return, Volatility and Trading Activities in the Gold Futures Markets

藍立朋(Li-peng Lan)

指導教授 ： 張阜民 ； 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

本研究運用門檻共整合向量誤差修正模型，探討黃金期貨報酬(波動)與期貨交易活動是否存在非線性門檻共整合關係，並進一步研究二者短期動態關係。我們挑選11個全球黃金期貨交易所樣本資料加以分析，發現於報酬(波動)和交易活動關係方面，將近一半黃金期貨交易所在長期具有非線性門檻共整合現象。在短期動態關係方面，本文發現二者間誤差修正項在門檻值上下方均有雙向回饋關係，以門檻值上方較為顯著，此代表市場非效率程度上揚。但少數交易所在門檻值上方因呈現報酬(波動)領先交易活動，表示舒緩市場非效率現象；於門檻值下方，卻呈現反向關係，因而減損市場效率。此結果和財務意涵可彌補黃金期貨報酬(波動)與期貨交易活動關係文獻之不足。

關鍵字

門檻共整合 ； 門檻向量誤差修正模型

並列摘要

This study investigates the underlying dynamics in the context of a threshold vector error correction model of gold futures returns (volatility) and futures trading activities. Unlike univariate models, our nonlinear multivariate framework takes into explicit account the joint behavior and individual dynamics of returns (volatility) and trading activities when these two key variables are threshold cointegrated. Our sample data includes 11 global Gold futures exchanges. A half of them shows threshold cointegrated of returns (volatility) and trading activities. We find the stronger magnitude of the feedback relationship between the returns and trading activities above the threshold value than below one, with exaggerating market inefficiency above the threshold value. By contrast, few Gold futures exchanges show the evidence of return volatility leading futures trading activities, with mitigating market inefficiency above the threshold value. Therefore, our findings shed lights on financial implications of threshold cointegration and the dynamics of Gold futures returns (volatility) and futures trading activities.

並列關鍵字

threshold vector error ； threshold cointegration

參考文獻

Bessembinder, H. and Seguin, P. J. (1993), “Price volatility, trading volume,and market depth: Evidence from futures markets,” Journal of Financial and Quantitative nalysis, 28, 21-39.

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Copeland, T. E. (1976), “A model of asset trading under the assumption of sequential information arrival,” Journal of Finance, 31, 1149-1168.

Cornell, B. (1981), “The relationship between volume and price variability in futures markets,” Journal of Futures Markets, 1, 303-316.

Epps, T. W. and Epps, M. L. (1976), “The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of -distributions hypothesis,” Econometrica, 44, 305-321.