| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === ABSTRACT
In this thesis, use the daily data on Japanese yen, British pound, Swiss franc
futures contracts traded on Chicago Mercantile Exchange and the US dollar futures
contract traded on Tokyo Financial Exchange over the interval from January 1996 to
August 2005 to examine the two major research purposes.
The two major purpose of this thesis are summarized as follows:
1. How well is the fitness test of cost-of-carry model?
2. Can the current currency futures prices predict future spot exchange rates?
According the empirical results, we make the two conclusions:
1. For the four exchange futures contracts, cost-of-carry model fits perfectly on
Japanese yen futures contract traded on Chicago Mercantile Exchange. However the
fitness of the cost-of-carry model on British pound, Swiss franc futures contracts
traded on Chicago Mercantile Exchange, and U.S. dollar futures contract traded on
Tokyo Financial Exchange are not adequate.
2. The four exchange futures contracts contains the information about spot exchange
rates on the next day, but the four exchange futures contracts prices can not predict
perfectly future spot exchange rates.
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