The Analysis for Dynamic Relationship amongCommodity ETF、Futures and Spot Markets

• Main Authors: Shu-Hua Liao, 廖淑華
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/32998867596934142345

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 101 === In recent years, many countries in the world have long been involved in developing new financial products related with index. Exchange-traded fund (ETF) as we know them were launch in 1993, after 19 years, ETF were rapidly bolving from “three” issues to “3,169” issues, with total assets rising from USD 80 million to USD 15.4 billion; the growth was around over 2,000 times. Physical commodity linked with securitize of ETF is concerned with maintainenace and creation of wealth which provides the investors with the advantages of low threshold high liquidity and diverse risks. This study was data from American commodity market such as gold, silver, crude oil and gas to analyze the difference of dynamic relationship and price discovery among commodity ETF, furthers and spot markets. The findings of this study are as follows: 1. The experimental results obtained from VAR model are the investors obscene future ETF market by the spot market and also forecast future spot market by future market regarding the price discovery of the metals and nature gas moreover, the close relationship among the markets benefits profitability of the investors. 2. To use bivariate EGARCH-DCC model to analyze the dynamic correlation coefficient of heteroskedasticity：the results different from those of VAR model showed that the investors have the homogeneous expectation among the three commodity markets and also the spot market of mental commodity and future (or ETF) market of energy-related market have better response for market information. Furthermore, to calculate the contribution of price discovery, the results showed that the contribution of price discovery for the futures of gold and silver. The futures of metal and silver commodity had higher contribution of price discovery; nevertheless, the ETF of crude oil and nature gas energy-related had higher contribution of price discovery.