Summary: | 碩士 === 逢甲大學 === 財務金融學系碩士班 === 107 === This study examines the influence of the information from U.S. gold option market on the volatility of gold futures market in Taiwan. The information from U.S. gold option market is derived from CBOE Gold ETF Volatility Index, GVZ. Other control variables are also considered, including the trading volume, open interest and investment returns of Taiwan gold futures market. In addition, according to behavioral finance, the pricing of financial assets could also be affected by investors’ irrational behaviors, which may drive the assets prices away from their fundamental values, and thus affect the assets returns. Consequently, the investor sentiment variable is further incorporated into the volatility forecasting models to investigate whether the forecasting power of the volatility models can be improved by including the information from gold option market and different investor sentiment states. The empirical evidence from the in-sample results shows that the forecasting ability of GVZ for the future realized volatility of gold futures market is higher than that of monthly historical volatility. After considering different investor sentiment states, the forecasting abilities of GVZ, historical volatility, and open interest of gold futures are further enhanced, and there is an asymmetric effect of the returns of gold futures on volatility. The empirical evidence from the out-of-sample results shows that the volatility models, including the information from gold option market and different investor sentiment states, have higher forecasting accuracy and greater forecasting power. This study provides an important reference basis about the market operations for gold futures traders in Taiwan.
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