外匯市場的遠期與期貨價格差異：逐日結算效果的探討

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研究生：	高煉智 Lien-Chih Kao
論文名稱：	外匯市場的遠期與期貨價格差異：逐日結算效果的探討 Differences between Forward and Futures Prices in Foreign Exchange Market: A Further Investigation of the Marking-to-Market Effects
指導教授：	岳夢蘭 Meng-Lan Yueh
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
畢業學年度：	92
語文別：	英文
論文頁數：	34
中文關鍵詞：	淨利息支付、逐日結算效果
外文關鍵詞：	marking-to-market effect, net interest payout
相關次數：	點閱：8 下載：0
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摘要
儘管遠期與期貨合約十分相似，在很多方面卻也不盡相同。其中最受爭議的就是期貨合約的逐日結算效果。Cox, Ingersoll, and Ross 等人於1981年結合逐日結算效果，推導出一系列關於遠期與期貨價格關係的命題。本文旨在研究外匯市場遠期與期貨合約價格差異，時間由2001年1月至2004年3月，研究的外幣幣別包含澳幣、英鎊、加幣、歐元、日圓與瑞士法郎。分別檢定：(1) 遠期與期貨價格是否有顯著差異，及其絕對價差在經濟上是否顯著。(2) 在兩種不同假設下，檢驗逐日結算所產生的淨利息支付是否可以解釋遠期與期貨價差的變動。實證結果顯示，在外匯市場遠期與期貨價差並不顯著。如果未來淨利息支付的現金流量已知，則有助於解釋遠期與期貨價差的變動。反之，過去淨利息支付的資訊並無法解釋此一變動。

Abstract
In spite of the similarity of forward and futures contracts, they are quite different in many aspects, and the most controversial issue is the marking-to-market of futures contracts. Cox, Ingersoll, and Ross (1981) incorporate the marking-to-market effect, and derive a series of propositions with respect to the relationship between forward and futures prices. This paper investigates the price differential between forward and futures contracts in Foreign exchange markets for the period January 2001-march 2004. The currencies examined include Australian dollar, British pound, Canadian dollar, Euro, Japanese Yen, and Swiss Franc. This paper test empirically (1) if there are significant differences between forward and futures prices, and (2) if the net interest payouts arising from resettlement could explain the variations of price differences for the CIR model in two different assumptions. Empirical results indicate that, in foreign exchange markets, differences between forward and futures prices are insignificant. CIR model is helpful in explaining the variations of forward-futures price differences if cashflow of the net interest payout in the future time is known. On the contrary, the model could not account for it if only using the past net interest payout.

Contents
1. Introduction …………………...…………………………………………………1
1.1 Motive ………………….………………….………………………1
1.2 Limitations ………….…………………………………….………..1
1.3 Framework ………………………………….…..…………….………..2
2. Review of Previous Research ………………...…………………………..3
2.1 Comparison of the forward and futures contracts ………………....…3
2.2 Theory of the pricing of forward and futures …………………..….4
2.3 Literatures ……………………………………………………………...6
2.4 CIR model introduction …………….…..……….……………………9
3. Data and Test Design …………..…….…....………………………………….12
3.1 The data ………………….……………………………………………….12
3.2 Model …………………….………..……………….………………………13
3.3 Test design …………………….………………….………………..14
4. Empirical Tests and Analysis ………………….……………………………18
4.1 Significance test of forward-futures price differential …….………...18
4.2 OLS test for CIR model ………………………………….…………….…21
4.3 Granger test for CIR model ………………………………………………23
5. Summary and Conclusions …………...……….….……………………………30
References …..……………………………………………………………………31
Table Contents
Table 1: The specifications for six kinds of foreign currency futures contracts in IMM……………………………………………………………..…………13
Table 2: Significance of the daily forward-futures price differences…………..19
Table 3: The average ratio of the absolute value of price-differential to forward and futures prices respectively………………….………………………20
Table 4: The results of OLS regression test………………….……………………22
Table 5: The results of unit root test……………………………………………….25
Table 6: Precentiles for unit root distributions……………………………………26
Table 7: The results of Granger test ……………………………..……………….27
Figure Contents
Figure 1: Flow chart of the studying method………………………………………2

                                

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