臺灣博碩士論文加值系統

本研究針對黃金、原油、咖啡、玉米四種商品期貨是否存在季節性效應，樣本期間從1983/03/30至2011/06/24分別以OLS、ARCH、GARCH三種實證模型進行隔夜效應、星期效應、月份效應、元月效應檢定。本研究亦將樣本期間分為三階段，以探討各商品期貨是否會因為近年來報酬的波動性變大而出現顯著的季節性效應。檢定結果中發現，咖啡期貨幾乎不存在任何季節性效應。相反的，黃金期貨、原油期貨、玉米期貨的季節性效應皆為顯著，特別是黃金期貨顯著的次數相當頻繁，故投資人將季節性效應利用在投資黃金期貨所獲利的機會較大。在子樣本期間中觀察到的季節性效應，發現各商品期貨的顯著性有逐期下降的趨勢，故，近年來報酬的波動性並不會導致顯著的季節性效應。此結論提供投資者了解各商品期貨的特性做為投資決策的參考。

This study investigates seasonal effects for four commodity futures contracts, including gold, crude oil, coffee and corn. The sample period starts from 1983/03/30 to 2011/06/24. The OLS, ARCH and GARCH models are used to examine the overnight effect, the day-of-the-week effect, the turn-of-the-month effect and the January effect. The whole sample period is divided into three sub-periods in order to investigate whether seasonal effects exist in these four commodity futures and whether they are related to futures volatility which became much larger in recent years. The empirical results indicate seasonal effects exist in gold futures, crude oil futures, and corn futures but not in coffee futures. In particular, seasonal effects show up more frequently in gold futures than in others, which mean that investing in gold futures can have a better chance to make profit than investing in other futures. With regard to results of the sub-sample periods, seasonal effects have been declining over time. Based on the empirical results, large volatility would not be a factor which leads to significant seasonal effects in recent year. The study provides investors with a clear understanding of the characteristics of various commodity futures and thus can help them make good investment decisions.

誌謝……………………………………………………………………………i
中文摘要………………………………………………………………………ii
英文摘要………………………………………………………………………iii
目錄……………………………………………………………………………iv
圖目錄…………………………………………………………………………vi
表目錄…………………………………………………………………………vii
1.緒論…………………………………………………………………………1
1.1研究背景……………………………………………………………………1
1.2研究動機與目標………………………………………………………… 3
1.3研究架構………………………………………………………………… 5
2.文獻回顧及相關理論………………………………………………………7
2.1文獻回顧………………………………………………………………… 7
2.2相關理論…………………………………………………………………13
3.研究方法與資料來源………………………………………………………20
3.1研究方法序列的基本檢測………………………………………………21
3.2資料來源…………………………………………………………………26
3.3實證研究模型……………………………………………………………28
4.實證結果………………………………………………………………….36
4.1序列基本檢定……………………………………………………………36
4.2單根檢定…………………………………………………………………41
4.3隔夜效應證實結果………………………………………………………43
4.4星期效應證實結果………………………………………………………50
4.5月份效應證實結果………………………………………………………57
4.6元月效應證實結果………………………………………………………68
5.結論與建議…………………………………………………………………70
參考文獻…………………………………………………………………… 72

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