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The relationship between spot and futures prices : evisence in gold market 林傳吉、梁晉嘉

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The relationship between spot and futures prices : evisence in gold market 林傳吉、梁晉嘉

E-mail: 324835@mail.dyu.edu.tw

ABSTRACT

This study, applying a threshold vector error correction (TVECM) model, examines whether gold spot and futures prices are cointegrated relationships. By using this methodology we are able to evaluate the degree and dynamics of transaction costs resulting from various market imperfections. Traction costs may lead to the existence of neutral band for futures market speculation in which profitable trading opportunities are impossible. We use data set that comprises daily data of spot and futures prices for gold market.

The principal source is DataStream, covering the period from 16th Oct. 2004 to 23rd Dec. 2010 that is 1622 observations in total.

In the process of proving that, first we examined whether the unit root of the two variables of gold futures and spot was in the steady state. The result came like this: the both sequences over by first differenced were I(1). And then, it showed long-run equilibrium between gold futures and spot prices by Johansen Cointegration test . Furthermore, this paper employs the threshold VECM to investigate the dynamic price relationship between gold futures and spot. The results provided by the SupLM test statistics reject the null hypothesis of no threshold effect. Whereas the Wald test diagnostics, thus the null hypothesis of linearity in error correction terms is rejected. Finally, we found that gold futures and spot prices were out of long-run equilibrium whether is in symmetrical or asymmetrical model. Thus, gold spot prices will adjust the short-run price to reverse back to the long-run equilibrium.

Keywords : threshold vector error correction model、Johansen Cointegration test、asymmetry、nonlinear Table of Contents

內 容 目 錄 中文摘要 .....................iii 英文摘要 ................

.....iv 誌謝辭  .....................v 內容目錄 ................

.....vi 表目錄  .....................viii 圖目錄  ..............

.......ix 第一章  緒論...................1   第一節  研究背景與動機....

........1   第二節  研究目的...............5 第三節 研究架構與流程.......

.....6 第二章  文獻探討.................8   第一節 國外文獻............

...8   第二節  國內文獻...............13 第三章  理論模型與研究方法........

.....21   第一節  理論模型...............21   第二節  單根檢定........

.......23   第三節  共整合檢定..............26 第四節 門檻向量誤差修正模型....

......29 第四章  實證結果與分析..............33   第一節  資料來源與處理....

........33   第二節  單根檢定...............35 第三節  共整合檢定......

........36   第四節 向量誤差修正模型...........37 第五節 門檻向量誤差修正模型.....

....38 第五章  結論...................40 參考文獻................

......41 表 目 錄 表 2-1ADF和PP單根檢定.............35 表 2-2Johansen共整合檢定......

.......36 表 2-3向量誤差修正模型實證結果..........37 表 4-1門檻向量誤差修正模型實證果...

......39 圖 目 錄 圖1-1研究架構圖..................6 圖 4-1黃金期貨、現貨價格日資料的 時間序列趨勢圖...34 圖 4-2黃金期貨與現貨價格基差之日資料的時間序列趨勢圖34

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參考文獻

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