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題名 | The Relationship between Forward and Futures Contracts=期貨與遠期契約對等關係之迷思 |
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作者 | 余尚武; Yu, Shang-wu; |
期刊 | 企業管理學報 |
出版日期 | 19980300 |
卷期 | 42 1998.03[民87.03] |
頁次 | 頁157-183 |
分類號 | 561.76 |
語文 | eng |
關鍵詞 | 每日結算; 風險偏好; 風險貼水; Marking-to-market; Risk preference; Risk premium; |
中文摘要 | 許多有關期貨契約評價或檢測市場效率性之相關文獻,皆假設期貨與遠期契約係 對等的。本研究以理論及實證的觀點檢視此二種契約之主要不同點,並分析其之所以有時候 被視為對等之原因。就理論而言,在風險規避的情況下,期貨市場之每日結算制度及利率的 持續性波動,使得此二種契約在結構上有顯著的不同。然而,許多實證研究卻發現,每日結 算效果之影響有時候是可以忽略的。事實上,每日結算效果僅係眾多可能造成此二種契約價 格有差異的原因之一,只要短期利率是可預測的,則在理論或實證研究上有關期貨與遠期契 約對等關係之假設,通常是可以接受的。 |
英文摘要 | Much of the literature regarding the equilibrium pricing of futures contracts or testing of market efficiency is usually based on the assumption of equivalent futures and forward contracts. This article examines how these two contracts differ and why we shall at times treat them as identical. Theory states that marking-to-market and interest rate volatility keep futures prices from being equal to forward prices under risk aversion. Nevertheless, empirical evidence suggests that the marking-to-market effect could sometimes be ignored. It implies that futures and forward contracts are fundamentally similar but not identical. In practice, there are a number of factors in addition to the daily resettlement which may cause futures and forward prices to be different. However, in perfect markets futures and forward prices may still be considered synonymous because of their similarities. As a consequence, were it not for the unpredictablility of short-term interest rates, it seems at times acceptable to assume that futures and forward prices are identical. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。