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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93772

    Title: 商品ETF、期貨與現貨巿場之動態關聯性研究
    Other Titles: Analysis for dynamic relationship among commodity ETF : futures and spot markets
    Authors: 廖淑華;Liao, Shu-Hua
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良;蘇欣玫;Liao, Shu-Hua
    Keywords: 商品市場;動態關聯性;價格發現;VAR模型;雙變量EGARCH-DCC模型;commodity market;dynamic relationship;price discovery;VAR Model;bivariate EGARCH-DCC model
    Date: 2013
    Issue Date: 2014-01-23 13:30:43 (UTC+8)
    Abstract: 近年來世界各國均致力開發指數化之新金融商品,自1993年發行第一檔ETF到2012年第一季,經歷了19年,全球的ETF由3檔成長至3,169檔、總資產規模由8億美元躍升至1.54兆美元,共成長近2,000倍。而其中實體商品的保值與增值效益,更結合ETF的證券化方式,提供給投資人投資門檻低、流動性高與風險分散效果的相對優勢。
    In recent years, many countries in the world have long been involved in developing new financial products related with index. Exchange-traded fund (ETF) as we know them were launch in 1993, after 19 years, ETF were rapidly bolving from “three” issues to “3,169” issues, with total assets rising from USD 80 million to USD 15.4 billion; the growth was around over 2,000 times.
    Physical commodity linked with securitize of ETF is concerned with maintainenace and creation of wealth which provides the investors with the advantages of low threshold high liquidity and diverse risks.
    This study was data from American commodity market such as gold, silver, crude oil and gas to analyze the difference of dynamic relationship and price discovery among commodity ETF, furthers and spot markets.
    The findings of this study are as follows:
    1. The experimental results obtained from VAR model are the investors obscene future ETF market by the spot market and also forecast future spot market by future market regarding the price discovery of the metals and nature gas moreover, the close relationship among the markets benefits profitability of the investors.
    2. To use bivariate EGARCH-DCC model to analyze the dynamic correlation coefficient of heteroskedasticity:the results different from those of VAR model showed that the investors have the homogeneous expectation among the three commodity markets and also the spot market of mental commodity and future (or ETF) market of energy-related market have better response for market information. Furthermore, to calculate the contribution of price discovery, the results showed that the contribution of price discovery for the futures of gold and silver. The futures of metal and silver commodity had higher contribution of price discovery; nevertheless, the ETF of crude oil and nature gas energy-related had higher contribution of price discovery.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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