Re-Examine the Maturity and Volume Effects of Futures by the Information Contents of Price Range

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簡歷

基本資料

Project title

Code/計畫編號

NSC97-2410-H019-021

Translated Name/計畫中文名

以價格變幅資訊檢驗期貨價格波動度之到期效應與交易量效應

Project Coordinator/計畫主持人

Heng-Chih Chou

Funding Organization/主管機關

National Science and Technology Council

Department/Unit

Department of Shipping and Transportation Management

Website

https://www.grb.gov.tw/search/planDetail?id=1672342

Year

2008

Start date/計畫起

01-08-2008

Expected Completion/計畫迄

31-07-2009

Bugetid/研究經費

521千元

ResearchField/研究領域

經濟學

"期貨的避險績效決定於避險者對期貨波動度的精確掌握，然而關於期貨波動度的分析，過去的研究皆以每日收盤價資料來進行，忽略日內價格變動的資訊。本研究計畫則擬採用期貨日內價格上漲變幅(upward range)與下跌變幅(downward range)，作為期貨價格波動度的代理變數，配合Chou(2005b)的不對稱條件變幅自我相關模型(asymmetric conditional auto-relation range model ，ACARR) 以及Alizaden, Brandt 和Diebold(2002) 的隨機變幅波動性模型 (range-based stochastic volatility model，RSV)，檢測期貨價格波動度的到期效應與交易量效應。本文以金融期貨與商品期貨為研究對象，實證樣本包括Nikkei 225 期貨、S&P 500 期貨、玉米、棉花、黃豆、飼牛期貨。本研究計畫的特色有以下幾項：首先我們採用變幅資訊，可以描繪樣本期貨每日盤中價格上下震盪的狀況；其次我們兼採金融期貨與商品期貨為實證對象，可以比較這兩類商品波動度特性之差異；第三我們分別引用ACARR 與RSV 模型，得以比較這兩種異質變幅模型的特性；第四我們延伸模型以納入期貨的距到期日期間、期貨成交量、未平倉量等變數，應有助於了解期貨價格波動度是否具有顯著的到期效應或交易量效應等特性；最後本計畫採用 Granger 因果關係檢定，以分析的到期效應與交易量效應之間的dominant 關係。後續研究者可以在本計畫的基礎上，進一步估計期貨的避險比例，並模擬期貨避險績效；或是可以在本計畫的基礎上，根據距到期日期間或是交易量的變化，擬定適當的套利策略，並模擬其績效。在期貨交易的風險管理方面，交易者也可以在本計畫研究結果的基礎上，根據距到期日期間或是交易量的影響，估計適當的市場風險之風險值(value at risk)。""The hedge performance of futures contract is decided by the understanding of the volatility of futures to be considered; however, the traditional proxy of financial volatility is based on the information of closing prices, obvious ignoring the path of intra-day prices. The proposed study thus adopting the price range of the futures as the volatility proxy re-examines the maturity and volume effects of the financial volatility of futures. The daily price range is divided into the up-range and the down-range in the study. Both Chou’s (2004b) ACARR model and Alizaden, Brandt and Diebold’s (2002) RSV model are used to describe the process of intraday price range. Two index futures, Nikkei 225 and S&P 500, and four commodity futures, soybean, corn, cotton, and feeder cattle, are chosen as the empirical samples. The proposed study is difference from previous research in some dimensions: firstly, we examine intraday upward range and downward range information to grip the intraday volatility; secondly, both financial futures and commodity futures are sampled in the study, so their differences in the volatility can be identified; the third, we compare the unique characteristics of ACARR model and RSV model; the forth, we extend the models to consider the impact of maturity, trading volume, and open interest, so as to test the significance of maturity and volume effects of volatility; and finally, the Granger causality test will be used to analyze the dominant relation between maturity effect and volume effect."

DSpace CRIS

Re-Examine the Maturity and Volume Effects of Futures by the Information Contents of Price Range

基本資料

Description