Forecast of Future Spot Exchange Rates from Current Currency Futures Prices

• Main Authors: Din-Da Yang, 楊定達
• Other Authors: Jan-Chung Wang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/58975062790016772463

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.