臺灣博碩士論文加值系統

本研究主要探討1987年及1989年美國股市崩盤前後國際貨幣市場間的價格與波動性領先落後關係的變化; 進一步了解投資人在股市崩盤前後學習效果的改變。即在探討三個月期歐洲美元(外在)市場和三個月期美國國庫券(國內)市場，彼此間的互動關係。本研究以Engle and Granger(1987)所提出的共整合(cointegration)模式，來檢定三個月期美國國庫券與三個月期歐洲美元利率期貨市場價格是否有長期均衡關係。並且結合Granger (1988)提出的誤差修正模型(ECM)及引用Nelson (1991)提出之EGARCH模型來探討兩者期貨價格領先落後的關係與波動之不對稱性及外溢效果。
然而，由於資金在國際貨幣市場間的移動障礙日趨減少且資訊傳送迅速，一國貨幣市場所受到任何消息面的影響很快地透過市場參與者套利交易(Arbitrage)活動，造成資金在彼此間移動，所以加速市場間的互動關係。故此本研究利用日內資料以有效掌握彼此市場間對訊息的反應程度; 即以每五分鐘、每十分鐘、每小時與最後交易小時的資料作為比較與分析，其實證結果如下:
1.以Engle and Granger共整合模式檢定三個月期美國國庫券與三個月期
歐洲美元利率期貨價格發現:無論崩盤前後均具有一長期均衡的關係，
表示美國國庫券與歐洲美元利率期貨價格在短期下可能受新訊息
(innovation)的影響偏離均衡關係，但在套利者的參與，長期而言仍然
維持價格趨勢的一致性。
2.EGARCH配適誤差修正模型(ECM)中之條件平均數顯示: 根據五分鐘及十
分鐘的資料發現在1987年股市崩盤後，三個月期美國國庫券期貨價格與
三個月期歐洲美元期貨價格間具有明顯的領先落後關係，且存在回饋
(Feedback)效果。即兩市場是呈現相互領先落後的關係，所以國內貨幣
市場或外在貨幣市場的資訊均會傳遞到另一市場。
3.EGARCH配適誤差修正模型(ECM)中之條件變異數顯示:三個月期美國國庫
券與三個月期歐洲美元期貨市場間，在股市1987年崩盤後均存在自身市
場對好壞消息反應不對稱的現象以及波動外溢效果，且此波動外溢效果
也有好壞消息反應不對稱的情形。但此不對稱效果在每五分鐘、每十分
鐘、每小時及最後交易小時的資料所得到的結果並不一致，可能是投資
者對新訊息的反應速度不一致所導致。但由此可知，投資者在崩盤後對
訊息的收集較注意且積極，以確保投資在貨幣市場上的利潤。

In this paper we attempt to examine whether the price lead-lag relationship, the volatility spillovers and asymmetric
effects have changed between the three-month U.S. Treasury Bill and the three-month Eurodollar money markets, and further, to analyze whether the investors’ learning effect has changed pre- and post- American stock markets crashed on October in 1987 and 1989. The Cointegration of Engle and Granger (1987) is applied to test the long-term equilibrium between the TB and ED futures. Additional, in order to consider the heteroskedasticity of the TB and ED futures prices,the bivariate EGARCH Model with the Error Correction Model (ECM) techniques are utilized to examine the short-term dynamic interactions of price and volatility between the TB and ED futures markets.
However, with the reduction in barriers to international capital flows, arbitragers invest their funds in money markets as soon as they obtain any information in markets. For this reason, the relationship between the two money markets, the three-month TB and the three-month ED, would get more closely than before. We adopt short trading time interval of intraday data because that investors access any information more efficiently, and which will increase the interactions between TB and ED futures markets. In this paper the intraday data of 5-minute, 10-minute, 60-minute and last trading hour are utilized instead of longer trading time interval and the empirical results are as follows,
1.The results of DF and ADF tests for cointegration show that
there exists a long-run equilibrium between the U.S. Treasury
Bill and Eurodollar futures prices in both pre- and post-
crash periods. That is, if TB and ED futures prices deviate
away from the equilibrium relationship in the short-term
period, which is due to the innovations of respective
market, the arbitrage will exist. For this reason, TB and ED
keep the equilibrium price in the long-term period due to the
arbitrage.
2.Based on 5-and 10-minute data, the results of the conditional
mean equations in unrestricted EC-EGARCH Model indicate the
lead-lag relationships are statistically significant between
the U.S. Treasury Bill and the Eurodollar futures prices after
the stock crashed in 1987. For this reason, we conclude that
the feedback relationship exist between TB and ED money
markets after the stock crashed.
3.The results of the conditional variance equations in
unrestricted EC-EGARCH Model indicate that there exist the
volatility asymmetry in both own TB and ED futures markets,
and exist volatility spillovers to the other market after the
stock crashed in 1987. And there also exist asymmetric
effects in the volatility spillovers. However, the effects
are not consistent in 5-minute, 10-minute, 60-minute and last
trading hour data. It implies that the speeds of the response
for good news and bad news are different in both markets.
Obviously, investors will pay more attention to the
information after stock crashes in order to catch any profit
in the money market.

CATALOG
Abstract (Chinese) i
Abstract iii
Acknowledgement (Chinese) v
Catalog vi
Catalogs of Figures and Tables viii
CHAPTER 1 INTRODUCTION
1-1 Background and Motivation 1
1-2 Research Purposes 3
1-3 Data and Variables 5
1-4 Research Flow 6
CHAPTER 2 LITERATURE REVIEW
2-1 U.S. Treasury Bill Interest Rate Futures 7
2-2 Eurodollar Interest Rate Futures 8
2-3 Literatures Review 10
CHAPTER 3 DATA AND METHODOLOGY
3-1 Data and Methodology 22
3-2 Unit Root Test 23
3-3 Tests for Cointegration 24
3-4 Error-Correction Modeling (ECM) 26
3-5 Heteroscedasticity Tests 28
3-6 The Bivariate EC-EGARCH Model 29
3-6.1 ARCH Process 29
3-6.2 GARCH Process 30
3-6.3 Exponential GARCH Process 31
CHAPTER 4 EMPIRICAL RESULTS (1) Hourly and Last Hour Data
4-1 Analysis of Hourly Data 35
4-1.1 Unit Root Tests 35
4-1.2 Tests for Cointegration 36
4-1.3 Heteroscedastcity Tests 37
4-1.4 The Bivariate EC-EGARCH Model 39
4-2 Analysis of Last Hour Data 46
4-2.1 Unit Root Tests 46
4-2.2 Tests for Cointegration 47
4-2.3 Heteroscedastcity Tests 48
4-2.4 The Bivariate EC-EGARCH Model 50
CHAPTER 5 EMPIRICAL RESULTS (2) 5- and 10- Minute Data
5-1 Analysis of 10-Minute Data 57
5-1.1 Unit Root Tests 57
5-1.2 Tests for Cointegration 58
5-1.3 Heteroscedastcity Tests 59
5-1.4 The Bivariate EC-EGARCH Model 61
5-2 Analysis of 5-Minute Data 68
5-2.1 Unit Root Tests 68
5-2.2 Tests for Cointegration 69
5-2.3 Heteroscedastcity Tests 70
5-2.4 The Bivariate EC-EGARCH Model 72
CHAPTER 6 CONCLUSION AND SUGGESTION
6-1 The Comparison of Empirical Results based on 5-minute, 10-minute,
hourly and last-hour data 79
6-2 Conclusion 81
6-3 Suggestion for Future Research 82
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