臺灣博碩士論文加值系統

本研究透過時間序列模型針對紐約商品交易所黃金期貨交易活動、價格波動性及訂價偏誤進行動態關係之探討，並以加入訂價偏誤與否為區別，探討加入前、後變數間互動關係的變化。實證結果發現：
黃金期貨交易量與價格波動性呈現正向關係，與過去立論相符，未平倉量與價格波動性在不同期間下則呈現出正/負相關，表示期貨市場中同時存在價格發現與投機或避險的力量，方向性則取決於兩股力量相互抵換後的結果。加入訂價偏誤後，黃金期貨交易活動與價格波動性關係無明顯變化，而訂價偏誤與交易量、價格波動性為負向關係，與未平倉量為正向關係。
依Granger因果關係檢定，交易量與未平倉量之間具有回饋關係，交易活動對波動性具有單向領先之關係。加入訂價偏誤後，交易量與未平倉量、交易量與波動性關係不變，未平倉量與波動性呈現回饋關係，波動性對訂價偏誤存在單向領先關係，可推論本研究結果與 Ferris et al. (2002) 結論不同，在黃金期貨市場中，訂價偏誤並無法扮演鏈結其他變數的角色。
衝擊反應結果可知，各變數對來自於自身衝擊的反應程度最為明顯，黃金期貨交易活動的衝擊則會使價格的波動性更加劇烈。加入訂價偏誤後，原變數之間的衝擊反應無明顯變化，訂價偏誤與其他變數之間的衝擊反應無明顯特定趨勢。
誤差變異數分解結果，黃金期貨交易活動變數間相互有解釋能力，訂價偏誤與價格波動性皆表現出較高的外生性，較不易受其他變數影響。

This thesis investigate the dynamic relationship between trading activities, return volatilities, and pricing errors for NYSE gold futures. We focus on the interaction between variables, with and without pricing errors in the models. The empirical findings conclude as followers：
A positive relationship between trading volume and volatilities of gold futures returns is found, which is consistent with previous studies. The direction of the correlation between open interests and return volatilities vary in different periods, indicating that the forces of price discovery and speculative/hedging activities may both exist, which jointly decides the direction of the above relationship. With the pricing error added, the relation between trading activities and return volatilities is no longer significant. The pricing error is negatively correlated to the trading volume as well as to the return volatilities, while positively to the open interests.
The results of the Granger causality tests show that there is a bi-directional feedback relation between trading volume and open interests. Trading activities on the other hand lead return volatilities. After adding the pricing errors to the model, the relationships between trading volume and open interests and between volume and volatilities are either changed. However, now there is a feedback effects from open interests to volatilities which leads pricing errors. Pricing errors, in our study, do not play a critical role in linking the other variables of interest in gold futures market. We therefore consider our results being different from that of Ferris et al. (2002).
In the impulse response analysis, each variable has significant impacts on itself. The results also suggest that trading activities increase the volatilities of futures returns. No significant changes are found after the joint of the pricing errors. No specific trends between pricing errors and other variables are detected.
From the Variance decomposition analysis, we find that various trading activity variables have great impacts on each other. Pricing errors and volatilities appear be more exogenous than the other variables of interest.

第一章　　緒論 1
第一節　研究背景 1
第二節　研究動機 3
第三節　研究目的 5
第四節　研究架構 6
第二章　　相關理論及文獻回顧 7
第一節　黃金簡介與市場介紹 7
第二節　黃金價格文獻回顧 11
第三節　交易活動與價格波動之理論假說 14
第四節　市場交易活動與價格波動性之關係 17
第五節　訂價偏誤、未平倉量與價格波動性之關係 21
第三章　　研究方法 23
第一節　資料來源 23
第二節　單根檢定 24
第三節　向量自我迴歸模型 26
第四節　Granger 因果關係檢定 28
第五節　衝擊反應函數 29
第六節　預測誤差變異數分解 30
第四章　　實證結果與分析 31
第一節　基本敍述統計量分析 31
第二節　單根檢定 32
第三節　最適落後期數的選取 32
第四節　向量自我迴歸模型 34
第五節　Granger 因果關係檢定 38
第六節　衝擊反應函數 40
第七節　預測誤差變異數分解 43
第五章　　結論與建議 48
第一節　結論 48
第二節　後續建議 49
參考文獻 50
附錄 53

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