A STUDY OF THE RELATIONSHIPS BETWEEN SHORT INTEREST FUTURES AND SPOTS OF THE THREE-MONTH U.S. TREASURY BILLS AND EURODOLLARS

• Main Authors: Yi-chain Tsai, 蔡依蒨
• Other Authors: Ching-jun Hsu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/66536992391231074592

碩士 === 南華大學 === 財務管理研究所 === 91 === 　　From the financial theories and previous empirical studies, most of the people will foresee that the futures market is more sensitive than the spot market, and the futures market may promote the spot market as well. In other words, it implies a significant lead-lag relationship. The purpose of this study is to discuss the relationships between the U.S. short interest futures market and the spot market based on the closing price from 1994 to 2002 of the three-month Treasury bills and Eurodollars. 　 　　On the relationship between prices of futures and spot, this research will apply Johansen co-integration method to evaluate the long-run equilibrium relationship. Our results indicate that both the futures and spot of three-month Treasury bills and three-month Eurodollars exist the long-run equilibrium relationship. Moreover, we employ the ECM to confirm that there is a short-term imbalance on the market, and the three-month Treasury bills and three-month Eurodollars will exercise futures to do the adjustment, but the Treasury bills futures and Eurodollars futures will reach the equilibrium simultaneously. By Granger causality model, we distinguish that there exists a unidirectional relationship on treasury bills and Eurodollars and the spot takes the lead. However, there exists a feedback relationship between Treasury bills futures and Eurodollars futures.