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題 名 | 共整合與市場效率:臺灣玉米現貨價格與美國玉米期貨價格之研究=Cointegration and Efficiency: The Study of Taiwan Corn Spot Price and American Corn Futures Price |
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作 者 | 郭如秀; | 書刊名 | 臺灣土地金融季刊 |
卷 期 | 35:1=135 1998.03[民87.03] |
頁 次 | 頁121-130 |
分類號 | 561.76、561.76 |
關鍵詞 | 共整合; 效率; 單根; Cointegration; Efficiency; Unit root; |
語 文 | 中文(Chinese) |
中文摘要 | 通常農產品價格數列發現為非穩定的,本文擬利用擴大型Dickey-Funer(ADF)單 根檢定,檢定臺灣玉米現貨價格數列與美國玉米期貨價格數列是否為穩定。整體而言,結 果指出現貨與期貨價格數列為非穩定。接著對現貨價格數列(SPt)與期貨價格數列(FPt)進 行共整合檢定,結果指出SP□與FP□為共整合。市場效率檢定指出期貨價格不是現貨價格的 不偏預測,此結果隱含著這些市場不具有效率性。 |
英文摘要 | Agricultural products price series are generally found to be not stationary and they contain a unit root, so this study attempts to construct a test, using the augmented Dickey-Fuller (ADF) test, of the hypothesis regarding whether or not the Taiwan corn spot price series and American corn futures price series are stationary. The result, on the whole, indicate the spot and futures price serice examined are nonstationary. The cointeigration tests is next performed to detect cointegration between the spot price series (Spt) and futures price series (FPt). The results suggest that SPt and FPt are cointegrated. The test for market efficiency indicate that the futures price is considered to be not an unbiased predictor of the spot price. The results, in turn, implies the absence of efficiency in these markets. |
本系統中英文摘要資訊取自各篇刊載內容。