日本咖啡期貨契約上市對現貨價格波動性與資訊傳遞之影響

Abstract

2007年之後國際農產品價格波動程度加劇，氣候變遷引起的極端氣候之發生頻率和影響範圍擴大之下，導致未來產生劇烈的農產品價格波動可能性增加，隨著農產品期貨交易需求的高漲，期貨對現貨市場價格波動性的影響及其隱含經濟意義成為首要關注的焦點。 本研究以GARCH模型分析日本咖啡期貨引入對現貨市場價格波動性變化的影響，並探討現貨市場資訊傳遞速度是否有顯著改善。實證結果顯然較為支持開放期貨交易有助於現貨市場價格形成機能的看法。在期貨上市後，市場資訊流通速度更為快速，且受干擾因子影響時間縮短，即引入期貨商品後市場資訊能更迅速地反應在現貨價格上。在EGARCH模型實證結果中，市場正負面消息造成波動性的不對稱性現象，以及高風險伴隨高報酬的風險溢酬假說，未有顯著證據說明以上現象，但其參數結果皆顯示，咖啡期貨契約上市對於現貨市場資訊傳遞速度有正面影響。

The agricultural food prices have risen rapidly since 2007. The climate change has an impact on the agricultural food price volatility. With an increase of the agricultural futures trades, we concern the effect of futures on spot price volatility and its economic implication. We use the GARCH model to examine the introduction effect for Japanese coffee futures on spot price volatility, and also test whether the efficiency of information transmission in spot market has been improved or not. The empirical results show that the introduction for futures markets can help to catch the spot market price. After futures trading, the efficiency of information transmission is increased and the effect of innovation shocks on the volatility declines. It implies that the market information can be reflected more quickly in the spot price after futures trading. We didn’t find the evidence in support of the asymmetric and the risk premium hypothesis that the risk premium increases with the higher asset risk with EGARCH and GARCH-M models. But the empirical evidence concerning the impacts of futures trading on information flow is significant. Futures trading helps the spot market system more stabilized.