Spot Price Volatility and Information Transmission: Evidence from Japanese Coffee Futures Markets
碩士 === 國立臺灣大學 === 農業經濟學研究所 === 99 === 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 eco...
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| Format: | Others |
| Language: | zh-TW |
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2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12011521144642755753 |
| Summary: | 碩士 === 國立臺灣大學 === 農業經濟學研究所 === 99 === 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.
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