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研究生:林淑貞
研究生(外文):Shu-Chen Lin
論文名稱:大宗穀物期貨價格大漲大跌行為之探討
論文名稱(外文):Grains Futures Large Price Movement Behavior
指導教授:洪仁杰洪仁杰引用關係
指導教授(外文):Rern-Jay Hung
學位類別:碩士
校院名稱:國立屏東科技大學
系所名稱:農企業管理系
學門:農業科學學門
學類:農業經濟及推廣學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:79
中文關鍵詞:玉米期貨黃豆期貨大漲大跌行為報酬極端值極端值理論時間間隔
外文關鍵詞:Corn FuturesSoybean FuturesLarge Price Movement BehaviorExtreme ReturnsExtreme Value TheoremTime Interval
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本研究旨在探討芝加哥期貨交易所發行之玉米期貨及黃豆期貨價格大漲大跌之行為。本研究從二個方向進行實證研究。第一個方向是利用極端值理論(extreme theory)探討極端值之漸近分配及其特性;第二個方向則是探討玉米期貨及黃豆期貨價格發生大漲(或大跌)之時間間隔之分配及其特性。簡單地說,本研究擬從大漲大跌之「值」及「時間」二個方向來探討玉米期貨及黃豆期貨大漲大跌之行為。
  自從Bachelier (1900)研究股價變動分配,並發展完整模型以來,股價或股價報酬的行為一直為財務學術界及實務界所重視的主題。惟過去的研究重心均放在股價預期報酬、報酬變異數及相關係數等平均特性(average properties)上,而較少注意到股價或報酬極端值的相關行為,而對發生大漲大跌之間隔時間進行之研究更是付之厥如,此為本研究從此二方向著手對玉米期貨及黃豆期貨之大漲大跌行為進行實證研究之最主要動機。
  本研究之研究方法除利用Peaks-over-threshold models之完全參數模型,且以ME-plot作為門檻值之估計方式。
  實證結果顯示,玉米期貨及黃豆期貨日報酬率之分配為非常態性,且實際分配不但是不對稱分配,同時也是左右尾均是厚尾。而玉米期貨及黃豆期貨日報酬率之左右尾門檻值分別為:0.0047、0.0150、0.0113及0.0115,同時本文亦估計出尾部分配的型態。
  在大漲大跌之間隔時間方面,玉米期貨日報酬 、 及 之分配皆為不同參數之指數分配;而黃豆期貨日報酬及 、 及-3%之分配亦為不同參數之指數分配。
  關鍵詞:玉米期貨、黃豆期貨、大漲大跌行為、報酬極端值、極端值理論、時間間隔
Abstract:
This study focuses on the large price movement behavior of corn futures and soybean futures. This study approaches this topic by two ways. The first one is to investigate the extreme values by using the extreme value theorem. The second is to study the interval between two large price movements (defined as the ones exceeding some given percentages, ex. ±1%、±3%, etc.). To sum up, we investigate the large price movement behavior by studying the "value" and "time interval" of large price movements.
Stock price and stock price return have been the focus for the academician and practitioners since Bachelier (1900) develops his model describing the stock price change behavior. However, past research concern most on average properties, such as expected returns, standard deviations, and correlation. Only a few focus on the extreme value behavior, not to say the study on the behavior of the time interval of two large price movements, especially for the empirical study on corn futures and soybean futures, thus motivates this study.
The methodology employed in this study include the fully parametric models of Peaks-over-threshold models and ME-plot method for estimating thresholds.
The empirical results show that corn futures and soybean futures are not normal distributions but fat tails distributions. The thresholds of right and left tails of corn futures and soybean futures returns are 0.0150、0.0047、0.0115 and 0.0113. And the tail estimators are listed.
The interval between two large price movements of corn futures are nearly exponential distributions with various parameters if returns over 、 and . Also soybean futures are nearly exponential distributions with various parameters return over 、 and -3%.
Keywords:Corn Futures、Soybean Futures、Large Price Movement Behavior、Extreme Returns、Extreme Value Theorem、Time Interval
大宗穀物期貨價格大漲大跌行為之探討
目 錄
第一章 緒論…………………………………………………..… 1
第一節 研究背景與動機…………………………………….. 1
第二節 研究目的………………………………..….………… 7
第三節 研究流程及架構……………………………..……… 8
第二章 文獻探討……………………………..………………….10
第一節 價格行為之相關研究………………………………...10
第二節 穩定的Paretian分配族……………………………… 14
第三節 極端值理論與應用…………………………………...19
第四節 大漲大跌時間間隔理論……………………………...30
第三章 期貨市場及大宗穀物市場簡介………….………….….33
第一節 期貨市場概況與期貨市場的功能…………………...33
第二節 大宗穀物市場概況之介紹…………………………...38
第三節 大宗穀物期貨之介紹...…………..…………………..48
第四章 研究方法………………………………………………...51
第一節 日報酬常態性之檢定………..…………………….… 51
第二節 報酬極端值漸近分配之估計………………………...53
第三節 大漲大跌間隔時間分配型態之參數估計…………...57
第五章 實證結果及分析………………………………………...59
第一節 資料來源與日報酬之基本統計分析………………...59
第二節 日報酬之常態性檢定………………..………….…… 62
第三節 報酬極端值漸近分配之型式………………………...63
第四節 大漲大跌間隔時間分配之型式……………………...67
第六章 結論與建議……………………………………………...70
第一節 結論…………………………………………………...70
第二節 對未來研究方向之建議…………………………….72
參考文獻……………………….…………………………………..73
一、中文部分
1.中央銀行經濟研究處,歷年,中華民國台灣地區金融統計月報,中央銀行經濟研究處編印。
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5.台灣省政府農林廳,歷年,台灣地區主要農畜產品生產及進出口量值,台灣省政府農林廳編印。
6.台灣區雜糧發展基金會,歷年,雜糧與畜產,台灣區雜糧發展基金會編印。
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8.美國黃豆協會,1998,美國黃豆進口商手冊,美國黃豆協會編印。
9.郭世美,1995,臺灣進口玉米最適避險比率之估計-The Extended Mean-Gini Approach之應用,碩士論文,國立中興大學,台中。
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13.蔡佩玲,2000,黃豆進口及加工業者避險策略之選擇── GARCH模型之應用,碩士論文,國立屏東科技大學,屏東。
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二、英文部分
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29.Gumbel, E. J., 1958, Statistics of Extremes, New York: Columbia University Press.
30.Hall, P., 1990, "Using the Bootstrap to Estimate Mean Square Error and Select Smoothing Parameter in Nonparametric Problems," Journal of Multivariate Analysis, 177-203.
31.Hill, B. M., 1975, "A Simple General Approach to Inference About the Tail of a Distribution, " Annals of Statistics, 46: 1163-1173.
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34.Jansen, D. W., C. G. De Vries, 1991, "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspectives," Review of Economics and Statistics, 73, 18-24.
35.Jenkinson, A. F., 1995, "The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements," Quarterly Journal of the Royal Meteorology Society, 87: 145-158.
36.Jorion, P., 1997, 2000, Value at Risk, McGraw-Hill.
37.Kendall, M. G., 1953, "The Analysis of Economic Time Series,” Journal of the Royal Statistical Society, 96: 11-25.
38.Longin, Francois M., 1996, "The Asymptotic Distribution of Extreme Stock Market Returns," Journal of Business, 69(3): 383-408.
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40.McCulloch, J. H., 1978, "Continuous Time Processes with Stable Increment," Journal of Business, 51, 601-619.
41.McFarland, James, P. Richardson, and Sam Sung, 1982, "The Distribution of Foreign Exchange Price Changes," Journal of Finance, 37: 693-715.
42.McNeil, A. J., 2000 a, "Extreme Value Theory for Risk Managers," Extremes and Integrated Risk Management, Risk Books, 3-18.
43.McNeil, A. J., 2000 b, "Reading the Riskometer," Extremes and Integrated Risk Management, Risk Books, 107-114.
44.Moore, Arnold, 1962, "A Statistical Analysis of Common Stock Prices," unpublished Ph.D. dissertation, Graduate School of Business, University of Chicago.
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