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題名:國際期貨與現貨市場及臺灣現貨市場間資訊傳遞結構之研究:以黃金交易為例
書刊名:交大管理學報
作者:吳欽杉張宮熊
作者(外文):Wu, Chin-shunChang, Alex Kung-hsiung
出版日期:1999
卷期:19:2
頁次:頁203-223
主題關鍵詞:矩陣自我迴歸模式期貨市場現貨市場資訊傳遞結構Vector autoregressionVARSystemFutures marketSpot marketTransmission mechanism
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:11
  • 點閱點閱:64
     本文利用矩陣自我迴歸法,探討臺灣開放期貨市場後,國際期貨市場、現貨市場與我國現貨市場間的互動結構。研究重點在於了解整體的動態影響過程及訊息傳遞的速度、程度與方向。經研究結果,得到主要結論為:在期貨開放後,國際期貨市場、現貨市場與國內現貨市場間的價格變異訊息在三個螢業日內完全反映至其他市場。易言之,在開放期貨交易後,國際期貨市場、現貨市場與國內現貨市場間的資訊傳遞效率已經提高。本文將期貨、國際現貨與國內現貨市場分別以VAR模式,求取一個營業日、二個營業日、三個螢業日的殘差變異分析,分解其變異來源。國內現貨黃金日報酬率的變動來源,在一個營業日內可由自我調整解釋達27.32%,另外有31.84%來自期貨市場的影響;40.84%來自國際現貨市場資訊傳遞所解釋,為了進一步了解我國在開放期貨交易後,黃金的期貨、國際現貨與國內現貨日報酬率間的訊息傳遞的型態,本文以VAR模式進行模擬,以了解個別市場的價格變動影響其他市場的資訊傳遞結構,其他市場進行回饋的資訊傳遞結構,以及其影響的速度、幅度與方向,其結果符合前文所述。
     By estimating a vector autoregression (VAR) system, this paper investigates the inter-market transmission mechanism of gold price among the futures market price, the spot market price in COMEX, and the spot market price in Taiwan. Generally speaking, a substantial amount of the multi-lateral interactions are detected among three markets pre and post the open of furtures market trading both. We find that the shocks are fully responsed in about a three-day period after the open of furtures market trading in Taiwan. In other word, the transmission efficiency has been increased. A clearly recognizable fashion, the innovations in each market are transmitted to others, is observed. Using the simulated responses of the estimated VAR system, we can locate all the main channels of interactions among three markets well as trace out the dynamic responses of one market to the innovation in another.
期刊論文
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圖書
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