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研究生:金達愷
研究生(外文):StoicBhekie Ginindza
論文名稱:芝加哥與南非期貨交易所市場大豆期貨價格波動溢出效應之關係研究
論文名稱(外文):A Study of Volatility Spillover Effects of Soybeans Futures between Chicago Board of Trade and South African Futures Exchange Markets
指導教授:吳榮杰吳榮杰引用關係
指導教授(外文):Dr. Rhung Jieh Woo
口試委員:張嘉玲周百隆
口試委員(外文):Dr. Chialin ChangDr. Pai-Lung Chou
口試日期:2015-06-23
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:農業經濟學研究所
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:2015
畢業學年度:103
語文別:英文
論文頁數:78
中文關鍵詞:.
外文關鍵詞:Volatility SpilloverCBOTSAFEXTGARCHSoybean Futures
相關次數:
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Abstract
Volatility spill-over is the amount of volatility that spills over from an international market to a local market. The study of volatility spillovers provides useful insights, as a form of price discovery, into how information is transmitted from one agriculture commodity exchange market to the other exchange market and vice versa. This paper explores volatility spillovers of Soybean Futures Contract Prices between the Chicago Board of Trade and South African Futures Exchange markets. The objective of the study was to examine the relationship and volatility spillovers of soybean futures prices between SAFEX and CBOT by demonstrating the return and volatility spillover effects between the two markets. The period under study is from December 2005 to April 2015. This task was accomplished by applying the, the Granger Causality Test and the diagonal BEKK-GARCH and TGARCH models, within an autoregressive framework. The results indicate that there exists a volatility spillover between the two markets. The findings suggest that there is a bidirectional volatility spillover between the Chicago Board of Trade and South African Futures Exchange market. The results of significant bidirectional volatility spillover suggest that there is an information flow (transmission) between these two markets and both these markets are integrated with each other. Accordingly, Soybean Futures market participants can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolios.


Table of Contents

Acknowledgements i
Dedication ii
Abstract iii
List of Figures vi
List of Tables vii
Abbreviations viii
Chapter 1 Introduction 1
1.1 Volatility Spillover 2
1.2 Problem Statement 3
1.3 Aim and Objectives of the Study 4
1.4 Contribution and Significance of the Study 5
1.5 Methodology Approach 5
1.6 Organization of the Thesis 6
Chapter 2: Overview and Background Setting 7
2.1 Introduction 7
2.2 Overview of the Soybean Market 7
2.2.1 A brief history of Soybeans 8
2.2.2 Soybeans in the US 9
2.2.3 Soybeans in South Africa 11
2.3 Futures Exchange Markets 13
2.4 Pricing of Derivatives Instruments: Futures Contracts 17
2.5 Volatility Spill-Over Effects 22
Chapter 3 Literature Review 27
3.1 Introduction 27
3.2 Soybean Prices Fundamentals 28
3.2.1 Factors affecting Supply of Soybeans 28
3.2.2 Factors affecting Demand of Soybeans 32
3.3 Fundamentals that Drive Market Participants’ Sentiments 36
3.4 Methodology Approaches to Measure Volatility Spillover Effect 38
3.5 Conclusion 45
Chapter 4 Data and Methodology 46
4.1 Empirical Models and Methodology 46
4.1.1 GARCH model 48
4.1.3 GARCH - BEKK Model Approach 52
4.2 Data and Descriptive Analysis 55
4.3 Results 60
4.3.1 Granger Causality Test 61
4.3.2 Autoregressive Model 62
4.3.3 Diagonal GARCH-BEKK Model 63
Chapter 5 Conclusion 67
5.1 Summary of Findings 67
5.2 Recommendations for further Research 68
References 70
Annexes 75


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