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研究生:藍立朋
研究生(外文):Li-peng Lan
論文名稱:黃金期貨報酬、波動和交易活動門檻共整合與動態關係
論文名稱(外文):Threshold Cointegration and the Dynamics of Return, Volatility and Trading Activities in the Gold Futures Markets
指導教授:張阜民張阜民引用關係李瑞琳李瑞琳引用關係
指導教授(外文):Fu-Min ChangRuei-Lin Lee
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:71
中文關鍵詞:門檻共整合門檻向量誤差修正模型
外文關鍵詞:threshold vector errorthreshold cointegration
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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。
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.
目 錄
中文摘要I
英文摘要II
誌謝III
目錄IV
表目錄VI
圖目錄VII
第一章 緒論1
第一節 研究背景與動機1
第二節 研究目的4
第三節 研究架構5
第二章 文獻探討6
第一節 混合分配假說模型6
第二節 連續資訊到達模型8
第三節 小結10
第三章 研究方法12
第一節 單根檢定12
第二節 誤差修正模型(ECM)與 Granger causality檢測14
第三節 門檻向量誤差修正模型(TVECM)17
第四節 門檻檢定19
第五節 變數定義21
第四章 實證分析22
第一節 敘述統計量23
第二節 單根檢定29
第三節 VAR 之落後期數31
第四節 門檻共整合檢定32
第五節 二區域 Granger causality檢測37
第五章 結論44
參考文獻43
附錄49
表目錄
表1 研究樣本與期間22
表2 11個交易所之敘述統計量23
表3 11個交易所之黃金期貨收盤價、交易量與未平倉量之單30
表4 11個交易所之落後期數31
表5 11個交易所之門檻共整合檢定結果33
表6 11個交易所之門檻共整合檢定結果之彙整36
表7 報酬、交易量與未平倉量之門檻領先落後檢定39
表8 報酬波動、交易量與未平倉量之門檻領先落後檢定42
圖目錄
圖1 黃金期貨價格的歷史未勢圖1
圖2 NYMEX之價格、交易量、未平倉量的走勢圖25
圖3 CBOT之價格、交易量、未平倉量的走勢圖26
圖4 TOCOM 之價格、交易量、未平倉量的走勢圖26
圖5 SHF之價格、交易量、未平倉量的走勢圖26
圖6 TAIFEX之價格、交易量、未平倉量的走勢圖26
圖7 NCDEX之價格、交易量、未平倉量的走勢圖27
圖8 DGCX之價格、交易量、未平倉量的走勢圖27
圖9 SAFEX之價格、交易量、未平倉量的走勢圖27
圖10 KOFEX之價格、交易量、未平倉量的走勢圖27
圖11 HKFE之價格、交易量、未平倉量的走勢圖28
圖12 EUREX之價格、交易量、未平倉量的走勢圖28
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