| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 84 === Forward contracts and futures contracts are both agreements
between two parties to trade a specific good at a certain future
time for a certain price. Both contracts provide functions of
hedging and speculating, and have been treated as if they were
synonymous. However, in spite of the similarity of these two
contracts, they are quite different in many aspects, and the
most significant difference is the marking-to-market of futures
contracts. Cox, Ingersoll, and Ross (1981) incorporate the
marking-to-market effect, and find formulas for forward and
futures prices and the relationship between them. They argue
that the marking-to-market of futures contracts creates the
cashflow differences between forward and futures contracts, and
consequently the price divergences. This study investigates
the price differences between forward and futures contracts with
maturities within six months in foreign exchange markets for the
period March 1988 - December 1995. It examines (1) if there are
significant differences between forward and futures prices for
the marking-to-market effect, and (2) if the net interest
payouts arising from resettlement could explain the variations
of price differences. The currencies studied include British
Pound, Canadian Dollar, Deutsche Mark, Japanese Yen, and Swiss
Franc. Empirical results indicate that, in foreign exchange
markets, differences between forward prices and futures prices
are small, the marking-to-market effect is not significant, and
CIR model is not helpful in explaining the variations of
forward-futures price differences.
|
|---|
