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研究生:郭瀚駿
研究生(外文):Han-ChunKuo
論文名稱:天災對農產品期貨報酬率的影響
論文名稱(外文):The effect of nature disaster on agricultural future returns
指導教授:蔡群立蔡群立引用關係
指導教授(外文):Chun-Li Tsai
學位類別:碩士
校院名稱:國立成功大學
系所名稱:經濟學系碩博士班
學門:社會及行為科學學門
學類:經濟學類
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:88
中文關鍵詞:期貨日內資料天災情緒EGARCH模型
外文關鍵詞:futuresintraday datanatural disastersentimentEARCH model
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本研究探討美國天災的發生是否對農產品期貨報酬率造成影響。運用GARCH以及EGARCH模型分析三種不同觀察頻率(日資料、15分鐘、1分鐘),以得出觀察天災影響農產品期貨報酬率的最適頻率。並使用八種天災(森林火災、冰雹、龍捲風、颶風、水災、乾旱、熱浪、風暴)作為本研究的解釋變數,探討不同種類天災對農產品期貨的影響方式。
實證結果發現在日資料中只有龍捲風對於農產品期貨報酬率有顯著為負的影響。在日內資料的部份,15分鐘頻率的期貨資料發現本研究觀察的八種天災對於農產品期貨皆有顯著影響,並且這顯著影響集中在開盤後的前15分鐘,在其餘15分鐘的區間無顯著影響。1分鐘頻率的資料裡各天災的影響非全為正或全為負,而是會在正負間有波動,並且天災造成的波動在開盤後也隨著時間消失。
This study investigated whether the occurrence of the U.S. natural disasters affect the rate of return on agricultural futures. The use of GARCH and GARCH model to analyze three different observation frequency (daily data, 15 minutes, 1 minute), to get the optimum frequency of observation of natural disasters affecting rates of agricultural futures return. And eight kinds of natural disasters (wildfire, hail, tornado, hurricane, flooding, drought, heat , storm) as explanatory variables in this study to explore the influence of different types of natural disasters on agricultural futures.
The empirical results show that only tornado in the daily rates of return for agricultural futures have significant negative impact. In part of the intraday data, 15 minutes frequency futures data found that all eight kinds of natural disasters significant effects agricultural futures in this study, and this significant impact is concentrated in the first 15 minutes after the opening , and no significant impact in the remaining 15 minutes intervals. The impact of natural disasters in the one minute frequency data not all positive or all negative, but will fluctuate between positive and negative, and natural disasters caused by fluctuations in the opening disappear over time.
第一章 緒論1
第一節 研究動機1
第二節 研究目的5
第二章 文獻回顧8
第一節 特定事件影響金融市場8
第二節 投資人情緒相關文獻11
第三節 期貨模型相關文獻14
第四節 相關天候對農產品期貨影響相關文獻16
第三章 實證模型18
第一節 資料簡述19
第二節 模型設定20
第四章 實證結果分析40
第一節 日資料40
第二節 日內資料41
第五章 結論與建議78
第一節 結論78
第二節 研究建議79
參考文獻80

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