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Vignon, Marc. "Implementing Sensitivity Calculations for Long Interest Rate Futures." Thesis, KTH, Matematik (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-48284.
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Choi, Ka-fai, and 蔡家輝. "Specifications of delivery options in interest rate futures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31954704.
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Choi, Ka-fai. "Specifications of delivery options in interest rate futures." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk:8888/cgi-bin/hkuto%5Ftoc%5Fpdf?B23425064.
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Liu, Cheng. "Utility-based Futures Contract Pricing under Stochastic Interest Rate, Appreciation Rate and Dividend Yield." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1283524846.
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Rusnáková, Monika. "Spread trading strategy for intraday short term interest rate futures markets." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8152.
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Neste trabalho analisaram-se estratégias de spread calendário de contratos futuros de taxa de juros de curto prazo (STIR – Short Term Interest Rate) em operações de intraday trade. O spread calendário consiste na compra e venda simultânea de contratos de STIR com diferentes maturidades. Cada um dos contratos individualmente se comporta de forma aleatória e dificilmente previsível. No entanto, no longo prazo, pares de contratos podem apresentar um comportamento comum, com os desvios de curto prazo sendo corrigidos nos períodos seguintes. Se este comportamento comum for empiricamente confirmado, há a possibilidade de desenvolver uma estratégia rentável de trading. Para ser bem sucedida, esta estratégia depende da confirmação da existência de um equilíbrio de longo prazo entre os contratos e a definição do limite de spread mais adequado para a mudança de posições entre os contratos. Neste trabalho, foram estudadas amostras de 1304 observações de 5 diferentes séries de spread, coletadas a cada 10 minutos, durante um período de 1 mês. O equilíbrio de longo prazo entre os pares de contratos foi testado empiricamente por meio de modelos de cointegração. Quatro pares mostraram-se cointegrados. Para cada um destes, uma simulação permitiu a estimação de um limite que dispararia a troca de posições entre os contratos, maximizando os lucros. Uma simulação mostrou que a aplicação deste limite, levando em conta custos de comissão e risco de execução, permitiria obter um fluxo de caixa positivo e estável ao longo do tempo.
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Wong, Alan 1954. "Futures-Forward Price Differences and Efficiency in the Treasury Bill Futures Market." Thesis, North Texas State University, 1986. https://digital.library.unt.edu/ark:/67531/metadc330688/.
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This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futures market using volatility and regression tests. Volatility tests use variance bounds to examine whether futures prices are excessively volatile for the market to be efficient. Regression tests investigate whether futures prices are unbiased predictors of future spot prices. The study was limited to analysis of the first three futures contracts, using weekly price data as reported in the Wall Street Journal from March, 1976 to December, 1984. Testing of the first CIR model involved determination of whether changes in futures-forward price differences are related to changes in local covariances between T-bill futures and bond prices. The same procedure applied in testing the second model with respect to changes in futures-forward price differences, local covariances between T-bill spot and bond prices, and local variances of bond prices. Volatility tests of market efficiency involved comparison of mean variances on both sides of two inequality equations. Regression tests involved determination of whether slope coefficients are significantly different from zero.
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Au, Chi Kwong. "Instant calibration to the stochastic volatility LIBOR market model /." View abstract or full-text, 2008. http://library.ust.hk/cgi/db/thesis.pl?MATH%202008%20AU.
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Kobold, Klaus. "Interest rate futures markets and capital market theory : theorical concepts and empirical evidence /." Berlin ; New York : W. de Gruyter, 1986. http://catalogue.bnf.fr/ark:/12148/cb37354747f.
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Mun, Kyung-Chun. "Bank hedging in futures markets: an integrated approach to exchange and interest rate risk management." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/39770.
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Tsai, Angela C. F. "Valuation of Eurodollar futures contracts under alternative term structure models : theory and evidence." Thesis, University of Strathclyde, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.366802.
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O???Brien, Peter Banking & Finance Australian School of Business UNSW. "Term structure modelling and the dynamics of Australian interest rates." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/28283.
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This thesis consists of two related parts. In the first part we conduct an empirical examination of the dynamics of Australian interest rates of six different maturities, covering the whole yield curve. This direct study of the long rates is quite novel. We use maximum likelihood estimation on a variety of models and find some results that are in stark contrast to previous studies. We estimate Poisson-jump diffusion (PJD) models and find very strong evidence for the existence of jumps in all daily interest rate series. We find that the PJD model fits short-rate data significantly better than a Bernoulli-jump diffusion model. We also estimate the CKLS model for our data and find that the only model not rejected for all six maturities is the CEV model in stark contrast to previous findings. Also, we find that the elasticity of variance estimate in the CKLS model is much higher for the short-rates than for the longer rates where the estimate is only about 0.25, indicating that different dynamics seem to be at work for different maturities. We also found that adding jumps to the simple diffusion model gives a larger improvement than comes from going from the simple diffusion to the CKLS model. In the second part of the thesis we examine the Flesaker and Hughston (FH) term structure model. We derive the dynamics of the short rate under both the original measure and the risk-neutral measure, and show that some criticisms of the bounds for the short rate may not be significant in actual applications. We also derive the dynamics of bond prices in the FH model and compare them to the HJM model. We also extend the FH model by allowing the martingale to follow a jump-diffusion process, rather than just a diffusion process. We derive the unique change of measure that guarantees the family of bond prices is arbitrage-free. We derive prices for caps and swaptions, and extend the results to include Bermudan swaptions and show how to price options with the jump-diffusion version of the FH model.
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Hotham, John Patrick Banking & Finance Australian School of Business UNSW. "Management of interest rate risk in the banking book of Australian credit unions and building societies." Awarded by:University of New South Wales. Banking & Finance, 2008. http://handle.unsw.edu.au/1959.4/40810.
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The Basel Committee has released a consultative document (Basel (2003)) on the management and supervision of interest rate risk (IRR). This document outlines a standardised model to calculate a duration-based proxy for IRR in depository institution balance sheets. We utilise this methodology to define an IRR measure which we denote BIRRM (Basel Interest Rate Risk Measure). It is the change in the value of a financial institution produced by a 200 basis-point increase in interest rates at all maturities, relative to Tier I and Tier II capital. This study has three primary objectives. Firstly, we utilise BIRRM to provide an overview of IRR exposure of Australian Credit Unions and Building Societies (CUBS) over the period September 1997 to September 2007. Secondly, we seek an understanding of the relationship between BIRRM and measures of CUBS' interest rate sensitivity over a period of rising interest rates (December 1998 to September 2000) and another period of falling rates (September 2000 to December 2001). Finally, we seek an understanding of the economic factors that influence IRR exposure decisions of CUBS by modelling the determinants of CUBS' IRR exposure. We find that IRR exposure of CUBS is relatively low and, on average, CUBS are exposed to falling interest rates. We also find significant relationships between BIRRM and measures of CUBS' interest rates sensitivity consistent with a priori expectations, supporting the use of the Basel Committee's measure of IRR in identifying CUBS with large IRR exposures. The models examining the determinants of CUBS' IRR have relatively low explanatory power. There are however significant relationships between a number of factors and CUBS' exposure to changing rates.
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Chu, Chi Chiu. "Pricing models of equity-linked insurance products and LIBOR exotic derivatives /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20CHU.
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Götsch, Irina. "Libor market model theory and implementation." Saarbrücken VDM, Müller, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2868878&prov=M&dok_var=1&dok_ext=htm.
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Wu, Guo Jian. "Examining the Expectations Hypothesis of the Term Structure of Interest Rates and the Predictive Power of the Term Spread on Future Economic Activity in New Zealand." Thesis, University of Canterbury. Economics and Finance, 2009. http://hdl.handle.net/10092/3394.
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This thesis consists of two parts: the first examines the Expectations Hypothesis of the Term Structure for New Zealand, and the latter examines the predictive power of the term spread on future economic activity in New Zealand. For both parts, I divide the sample period into two sub-sample periods – the pre-OCR period and the OCR period.
Using Mankiw & Miron’s (1986) approach for testing the expectations hypothesis, the findings in this paper suggest that the theory is consistent with New Zealand data during the OCR period. I attribute the success of the theory to the introduction of the Official Cash Rate system in March 1999. The change from targeting the settlement cash balance to targeting an interest rate variable has substantially improved the predictability of short-term interest rates.
In regards to the predictive power of the spread, the findings in this paper support the conventional view that the spread is positively related to future economic activity. Using Hamilton & Kim’s (2002) approach, I decomposed the term spread into an expectation component and a term premium in an attempt to find out whether these two variables have distinctly separate effect on future economic activity. My findings are in contrast to that reported by Hamilton & Kim. In particular, I find that the term premium in some cases is significant and negatively related to future economic activity in New Zealand. I attribute the negative relationship to lower long-term interest rates and a fallen term premium in New Zealand.
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Park, Tae Young. "Efficiency and Accuracy of Alternative Implementations of No-Arbitrage Term Structure Models of the Heath-Jarrow-Morton Class." Diss., Virginia Tech, 2001. http://hdl.handle.net/10919/29494.
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Models of the term structure of interest rates play a central role in the modern theory of pricing bonds and other interest rate claims. Term structure models based on the principle of no-arbitrage, especially those of the Heath-Jarrow-Morton (1992) class, have become very popular recently, both with academics and practitioners. Surprisingly however, although the implied volatility function plays a crucial role in these no-arbitrage term structure models, there is little systematic evidence to guide optimal model specification within this broad class.
We study the implied volatility in the Heath-Jarrow-Morton framework using Eurodollar futures options data. We estimate a daily time series of forward rates within the HJM framework such that, by construction, the predicted futures prices from our model exactly match the observed futures prices. Next, we estimate a daily time series of volatility parameters such that the sum of squared errors between futures options prices predicted by the model and observed futures options prices is minimized. We use the six different volatility specifications suggested by Amin and Morton (1994) within the HJM class of models to price interest rate claims. Since the volatilities are the only unobservables, we use these models to infer the volatilities from the market prices of Eurodollar futures options over the 1987-1998 periods. The minimized sum of squared errors in the option prices is used as the measure of accuracy of each specific model. Each model differs from the others in its ability to match the market option prices and the time required for the computation. We compare the performances of the six volatility specifications in the accuracy-versus-computation time tradeoff. We document the systematic biases between the model and market prices as a function of option type, maturity, and moneyness.
We also examine alternative numerical implementations of HJM models using the six volatility specifications. In particular, we analyze the impact on accuracy and computation time of using different numbers of time-steps. We also examine the effect of using time-steps of varying lengths within the same estimation procedure, and of ordering the time-steps in different ways.Ph. D.
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Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.
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This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.
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Mattsson, Henrik, and Jonas Vikström. "Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?" Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45940.
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This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies? The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. The research was conducted with a positivistic philosophy in conjunction with a realistic approach. Since the research question has been deducted from the theoretical framework the research has a deductive approach, a quantitative technique was adapted when the data at hand was mainly future and spot rate data. Data on 13 currencies ranging from 2005 to 2010 was used. The prices were available in weekly intervals for all currencies except for the Brazilian real, Swiss frank and the Mexican peso. The statistical test that was used is the Augmented Dickey-Fuller test and the Phillips-Ouliaris cointegration test. The test was conducted on the whole timeframe. After that, the data was divided into three sub periods to show if the efficiency where different in the period before the crises (2005-2007), during the crises (2008-2009) and after the crises (2010). The test has also been done on annual and quarterly data to show if the length of the time period tested has an effect on efficiency. The PO test has been conducted on all data and the ADF test has been conducted on the whole timeframe and the sub periods. The results show that, ten of the currencies which we had weakly data, the future is a good predictor of the future spot exchange rate. This is true when the tests are done on an interval of one year and more. For the three currencies that we had monthly data, the results showed cointegration on the whole timeframe. When shorter time periods were tested the currencies that consisted of monthly data showed no cointegration sooner than the weakly data. When test is done on quarterly data, only one test is cointegrated. It cannot concluded that, the future was not a good predictor for the future spot exchange rate during this time, merely that this particular test might be the true one and that the tests where not able to capture it. Several reasons for this are presented in the analysis chapter, where the statistical tests and their design are mentioned among other reasons.
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Söderström, Ulf. "Monetary policy under uncertainty." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1999. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-646.
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This thesis contains four chapters, each of which examines different aspects of the uncertainty facing monetary policymakers.''Monetary policy and market interest rates'' investigates how interest rates set on financial markets respond to policy actions taken by the monetary authorities. The reaction of market rates is shown to depend crucially on market participants' interpretation of the factors underlying the policy move. These theoretical predictions find support in an empirical analysis of the U.S. financial markets.''Predicting monetary policy using federal funds futures prices'' examines how prices of federal funds futures contracts can be used to predict policy moves by the Federal Reserve. Although the futures prices exhibit systematic variation across trading days and calendar months, they are shown to be fairly successful in predicting the federal funds rate target that will prevailafter the next meeting of the Federal Open Market Committee from 1994 to 1998.''Monetary policy with uncertain parameters'' examines the effects of parameter uncertainty on the optimal monetary policy strategy. Under certain parameter configurations, increasing uncertainty is shown to lead to more aggressive policy, in contrast to the accepted wisdom.''Should central banks be more aggressive?'' examines why a certain class of monetary policy models leads to more aggressive policy prescriptions than what is observed in reality. These counterfactual results are shown to be due to model restrictions rather than central banks being too cautious in their policy behavior. An unrestricted model, taking the dynamics of the economy and multiplicative parameter uncertainty into account, leads to optimal policy prescriptions which are very close to observed Federal Reserve behavior.Diss. Stockholm : Handelshögskolan, 1999
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Dalekorejová, Petra. "Finanční deriváty v praxi." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224911.
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The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.
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Vellem, Nomtha. "The impact of oil price changes on selected economic indicators in South Africa." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/d1017862.
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The study examines the effect of oil price changes on selected economic indicators in South Africa. A VAR-5 model was applied to quarterly data of 1990:Q1-2012:Q4 estimating the impulse response functions, variance decomposition and Granger-causality tests. The findings allow for a conclusion that oil significantly affects the exchange rate and an inverse link between oil and GDP exists. A unidirectional relation is found where oil Granger-causes the exchange rate and GDP Granger-causes oil in South Africa.
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Coelho, Bruno. "Um estudo sobre os impactos da surpresa dos indicadores macroeconômicos de atividade e inflação no mercado futuro brasileiro de juros." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/12361.
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The monetary policy guidelines are defined based on macro indexes released to the market periodically. The agents of this market react quickly to any changes in macroeconomic environment, trying to obtain high profits or to avoid significant financial losses. Considering this, this paper intends to analyze how interest rate future market reacts when surprises in macroeconomic indexes are released, suggesting a new methodology to forecast the market reaction through the construction of an aggregate surprise index. Using data extracted from Bloomberg and BM&F Bovespa, we constructed a simplified data base by adopting assumptions to measure the impact of surprises disclosed in the price of DI Futuro. The standardization of parameters, applying average tests and optimizing regressions by OLS allowed to weight relatively a set of macro indexes according to their effect on market volatility. Finally, we made a test on the proposed aggregate surprise index that showed it was more efficient in forecasting the market reaction than another index that considered equal weights to all set of macroeconomic index.
As diretrizes de política monetária são definidas com base em resultados dos indicadores macroeconômicos divulgados ao mercado periodicamente. Os agentes deste mercado respondem rapidamente às alterações de cenário, com o objetivo de obter lucro ou evitar perdas financeiras expressivas. Com este motivacional, a proposta deste trabalho é avaliar como reage o mercado futuro de juros diante da divulgação de surpresas em determinados indicadores macroeconômicos, propondo um indicador de surpresa agregado para prever os impactos causados. Através dos dados extraídos da Bloomberg e da BM&F Bovespa, foi construída uma base de dados simplificada pela adoção de premissas para mensuração do impacto das surpresas divulgadas no preço do DI Futuro. A padronização dos parâmetros, a realização dos testes de média e as regressões otimizadas pelo método OLS possibilitaram ponderar os indicadores econômicos de acordo com a oscilação que os mesmos causam a este mercado. Por fim, o teste de comparação mostrou que o indicador de surpresa proposto foi mais eficiente nas previsões da reação do mercado do que um indicador que pondere de forma igualitária todos os indicadores macroeconômicos.
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Senzangakhona, Phakama. "The impact of oil price volatility on unemployment: a case study of South Africa." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/1697.
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This study analyses and investigates the impact of crude oil price vitality on unemployment in South Africa. This is done by firstly surveying theoretical and empirical literature on the crude oil price-unemployment relationship before relating it to South Africa. Secondly, crude oil and unemployment trends with their causes are overviewed. The study employs a Johansen co-integration technique based on VAR to model unemployment against crude oil prices, real effective exchange rate, real interest rates and real gross domestic product. Using quarterly data for the period 1990-2010, econometric results show that crude oil prices are positively related to unemployment in the long run while the opposite is true in the short run. Parameter estimates and variables are statistically significant; hence there are also policy recommendations which are related to both empirical and theoretical literature. Lastly, impulse response functions show that unemployment returns to equilibrium in the long run when crude oil price changes whereas real interest rates followed by crude oil prices explain most of unemployment changes compared to other variables in the long run.
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譚丹琪. "Hedging interest rate risk with interest rate futures." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/44141351315523049026.
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Chen, Peng Jen, and 陳鵬仁. "An Application of Financial Enigneering on Interest Rate Swap Futures and Options on Interest Rate Swap Futures." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/12587333098504084323.
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碩士國立政治大學
財政學研究所
81
Financial Engineering, which solves the problems in the fin- ancial market and financial tools and makes them reasonable. Financial Innovation, which increases the competences of the financial institutions within the volitity macroeconomy. Use the skills and ideas of the financial engineering to financial innovations,we can make a more efficiency and complete financial markets. My study describes the details of Financial Futures、Options、 Swaps and other derive products:Options on Futures and Swaptions , then introduces the new financial tools: Interest Rate Swap Futures and Options on Interest Rate Swap Futures.The Swap Futures and the Options on Swap Futures are the new contracts of CBOT ,which trade from 1991. They are failed trade in the market, but they offer a example for financial innovations. Now, we want to make Taipei to become a international finan- cial center, we have to cancel the financial regulations and develop the new financial tools. This study is a simple test. graphs、tables and formulas applied.
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Tsui-fen, Chung, and 鍾翠芬. "Cross hedging using foreign interest rate futures." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/90964172590306091305.
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碩士國立臺灣大學
國際貿易學系
82
Since the revise of "Bank Law" and deregulation in 1989 @ , the fluctuationof interest rate of money market in @ Taiwan is becoming larger than in America.There is great @ demand for hedging interest rate risk; however, there @ is noinstruments for hedging interet rate risk. So @ applying the concept of cross hedge is a good method @ to use. @ The thesis first discusses the system of interest rate @ and finds the representative of hedging interest rate @ risk. Second, I review theories of hedging interest @ rate risk using financial futures. Then, based on the @ methods of Robert W. Kolb(1982), I implement an emperical study to evaluate the effectiveness of cross hedge: using T-Bill futures and domestic forward to hedge the commercial paper interest rate risk. The data is Jan.-March 1992, July-Sep. 1992, and March- May 1993. The hedge periods are 10, 30, 90 and 180 days. The conclusions of the study include: 1. the impact of hedge periods: the longer the periods, the larger is the gains(or losses). 2. the impact of the sample periods: the trend of interest rate in these two countries is not the same , so the effectiveness of hedging interest rate risk is uncertain. 3. the impact of different trend of long and short-term interest rate: When the short-term interest rate is rising but the long-term interest rate is declining, the effectiveness of the different hedging periods in the same sample period is different.
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Li, Ming-Shu, and 李明書. "Success and Failure of Taiwanese Interest rate Futures." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/z6mfpk.
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碩士國立中山大學
財務管理學系研究所
96
Interest rate futures have been traded in TAIFEX (Taiwan Futures Exchange) since 2004, but its trading volume is relatively behind expected. However, based on the scale of cash market and the hedge demand for bond, interest rate futures should have potential to boom. According to the definition of Success or Failure of future contract and suggestion to Taiwan interest rate future, this project intends to analyze Bond Futue and Commerical paper future through six parts: “the size of cash market”, “Trading volume and cash price”, “Concentration in cash market”, “cash and future price”, “Trading volume of interest rate future”, “Cross Hedge Market”. Then searching the dependent variable is suitable for practical model. This article is based on model of Black(1986), which trading volume as independent variable and hedge ratio, cash price, and size of cash market as dependent variable, and add “Promtional policy to interest rate future”, “Trading volume of substitue contract”, “Concentraction ratio of large four traders” to be new dependent variable. The result reveals thar the key factor to influence trading volume is“Promtional policy to interest rate future”, and trading volume of interest rate future will fall without promotion policy. The relation between trading volume and “liquidity of cross hedge market” is significantly negative, hedgers prefer to use cross hedge than interest rate future. “The size of cash market” and trading volume are significantly positive. The larger size of cash market is, the less price control power of traders will get.
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"Interest rate futures and options as tools for hedging." Chinese University of Hong Kong, 1988. http://library.cuhk.edu.hk/record=b5885870.
Full text
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Liao, Chih-Chan, and 廖志展. "Pricing Interest Rate Futures Options under Jump-Diffusion Process." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/59699448047609374619.
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Chyan, Hcuan-Tian, and 錢川田. "An Investigation of the interaction and arbitrage of the forward rate agreement 、interest rate futures and interest rate swap." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/62627618258412254982.
Full textAbstract:
碩士東吳大學
經濟學系
87
Financial institutions accept new interest rate swap contracts of end-user , they stand ready to deal in reasonable amounts in most trading condition and without immediately available matched swaps . Financial institutions are generally temporality hedging or warehousing individual swaps before matching swaps before available . Long-term swap are warehoused with government bond , short-term swaps are warehoused with strips of futures or forward rate agreement. The use of futures and forward rate agreement to arbitrage and hedge swaps means that price of the latter depends closely on the interest rate offered by the other instruments. However , the limited range of liquid futures and forward rate agreement in terms of teners typically restricts arbitrage and headging up to two years with money market swaps. In practice , with headging and arbitrage relationship , pricing of the short-term interest rate swap almost base on Eurodollar interest rate. Hence , theoretical fix rate consist of a strips or series of Eurodollar futures and the market fix rate of interest rate swap must very closed , if large price discrepancies occur then give rise to arbitrage opportunity. The purpose of this paper is compute theoretical price of interest rate swap in practical views. So ,at beginning we use transaction figures to introduce three kinds of financial commodities , then investigate of the interaction and arbitrage of the three commodities. ,
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Chen, Bi Yao, and 陳碧瑤. "The Empirical Research and Questionnare Analysis of Interest Rate Futures." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/47538769972736232413.
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KUO, KAI-YUAN, and 郭凱元. "THE CONTRACT DESIGN OF TAIWAN SHORT-TERM INTEREST RATE FUTURES." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/09302139100938677198.
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龐元愷. "A study of alternative hedging strategies for interest rate futures." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/67518101416818956600.
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"The future of interest rate derivatives in Asia Pacific Region." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888668.
Full textAbstract:
by Choi Ming Yee, Fung Lai Shun, So Wai Ching.Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.
Includes bibliographical references (leaves 87-91).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iii
LIST OF FIGURES --- p.v
LIST OF TABLES --- p.vi
LIST OF ABBREVIATIONS --- p.vii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- PERSPECTIVES OF INTEREST RATE --- p.3
Interest Rate and Capital Market --- p.3
Trade-off between Current and Future Consumption --- p.3
An Economy without Exchange --- p.4
An Economy with Capital Market --- p.5
Determinants of Interest Rate --- p.7
Credit Considerations --- p.8
Term Structure --- p.9
Loanable Funds --- p.11
Interest Rate Risk --- p.11
Interest Rate Volatility --- p.15
Chapter III. --- DEVELOPMENT OF INTEREST RATE DERIVATIVES --- p.20
The Emergence of Derivatives Markets --- p.20
Interest Rate Derivatives Market --- p.23
Interest Rate Futures --- p.24
Interest Options --- p.25
Interest Rate Swaps --- p.27
Forward Rote Agreements (FRAs) --- p.29
Chapter IV. --- MACROECONOMIC DEVELOPMENT IN ASIA PACIFIC REGION --- p.31
Chapter V. --- MOTIVATION FOR FINANCIAL LIBERALIZATION --- p.33
Limitations in Old Systems --- p.33
Interest Rate Ceilings --- p.33
Exchange Controls --- p.34
Portfolio Selection and Credit Rationing --- p.35
Taxes and Reserve Requirement --- p.37
Advantage of Liberalization --- p.38
Chapter VI. --- ECONOMIC VOLATILITY --- p.41
Capital Mobility and International Integration --- p.41
Monetary Policy --- p.45
Chapter VII. --- THE DEMAND AND SUPPLY OF INTEREST RATE DERIVATIVES --- p.48
Can Hedging Add Value to the Company? --- p.49
Can Hedging Alter the Discount Rate of a Company? --- p.49
Chapter VIII. --- THE ASIAN MARKET --- p.58
New Derivatives Exchanges --- p.61
Chapter IX. --- FORCES DRIVING DERIVATIVES GROWTH --- p.63
Sustained Shifts in Volatility --- p.64
The Demand for New Ways to Transfer Interest Rate Risk --- p.66
The Demand for Liquidity --- p.69
Chapter X. --- THE FUTURE --- p.81
APPENDIX --- p.86
BIBLIOGRAPHY --- p.87
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"The assessment of the behaviour of the basis of hibor futures." 1999. http://library.cuhk.edu.hk/record=b5889472.
Full textAbstract:
by Low Fung Seong Jenny, Yau Yin.Thesis (M.B.A.)--Chinese University of Hong Kong, 1999.
Includes bibliographical references (leaves 53).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iv
ACKNOWLEDGMENTS --- p.v
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- THE HONG KONG MONETARY SYSTEM --- p.3
Linked Exchange Rate System --- p.3
Monetary Base --- p.3
Capital Inflow and Outflow --- p.4
Interest Rate and the Link --- p.5
The Interbank Market --- p.9
Chapter III. --- INTRODUCTION TO HIBOR FUTURES --- p.11
Background of the HIBOR Futures --- p.12
Features of Three-Month HIBOR Futures Contract --- p.14
Futures Quotations and Futures Prices --- p.16
Delivery and Determination of Final Settlement Prices --- p.17
Functions of HIBOR Futures Contract --- p.17
Short Hedge --- p.18
Long Hedge --- p.20
Speculation --- p.22
Chapter IV. --- TEST OF COST OF CARRY RELATIONSHIP FOR HIBOR FUTURES --- p.24
Cost of carry Relationship --- p.24
Forward and Futures Prices --- p.27
Cash Prices versus Futures Prices --- p.27
Testing the Cost of Carry on Three-month HIBOR Futures Contracts --- p.30
Collection of Data --- p.30
Methodology --- p.30
Findings --- p.31
Analysis of Findings --- p.35
Chapter V. --- CONCLUSION --- p.37
ENDNOTES --- p.38
APPENDICES --- p.40
BIBLIOGRAPHY --- p.53
36
"Currency swap and interest rate swap as corporate financial instruments." Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886361.
Full textAbstract:
by Lai, Cheuk-wai Charles, Ng, Kwok-kwong Philip.Thesis (M.B.A.)--Chinese University of Hong Kong, 1990.
Bibliography: leaves 63-65.
TABLE OF CONTENTS
ABSTRACT --- p.i
TABLE OF CONTENTS --- p.ii
LIST OF EXHIBITS --- p.iv
ACKNOWLEDGEMENTS --- p.v
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- METHODOLOGY --- p.4
Chapter III. --- INTEREST RATE SWAP --- p.7
Basic Mechanism of Interest Rate Swap --- p.7
Interest Rate Swap in Its Simplest Form --- p.8
Interest Rate Swap with Intermediary --- p.9
Basis Swap --- p.11
Arbitrage --- p.12
Application --- p.16
New Instruments --- p.21
Chapter IV. --- CURRENCY SWAP --- p.25
Swap in Foreign Exchange Market --- p.25
Swap in Capital Market --- p.26
Chapter V. --- COMPARISON BETWEEN SWAP AND OTHER INSTRUMENTS --- p.38
Chapter VI. --- RISKS ATTACHING SWAP CONTRACTS --- p.41
Interest Rate Risk --- p.43
Default Risk --- p.45
Chapter VII. --- SWAPS IN PRACTICAL ENVIRONMENT --- p.57
New Attitudes of Swap Intermediaries --- p.57
Situations and Prospect of Swap Market --- p.59
Empirical Use of Swap in the Market --- p.60
Chapter VIII. --- CONCLUSION --- p.61
BIBLIOGRAPHY --- p.63
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"Comprehensive study on interest rate and currency swaps." Chinese University of Hong Kong, 1997. http://library.cuhk.edu.hk/record=b5889049.
Full textAbstract:
by Hui Chi Hang and Wong Wai Ming.Thesis (M.B.A.)--Chinese University of Hong Kong, 1997.
Includes bibliographical references (leaves 89-92).
ABSTRACT --- p.iv
TABLE OF CONTENT --- p.v
Chapter Page
Chapter PART I : --- Interest Rate Swap --- p.1
Chapter 1. --- INTRODUCTION AND HISTORY OF SWAP --- p.2
Chapter 2. --- INTRODUCTION TO INTEREST RATE SWAP --- p.6
Chapter 3. --- ECONOMICS AND PRICING OF INTEREST RATE SWAP --- p.8
"Exhibit I - Example 1,2 & 3" --- p.19
Chapter 4. --- APPLICATION OF INTEREST RATE SWAP --- p.25
Chapter PART II: --- Currency Swap --- p.27
Chapter 5. --- INTRODUCTION TO CURRENCY SWAP --- p.28
Chapter 6. --- ECONOMICS AND PRICING OF CURRENCY SWAP AND LTFX CONTRACTS --- p.30
Exhibit II - Example 4 --- p.38
Chapter Part III : --- Implication of Swap in Major Markets --- p.41
Chapter 7. --- MAJOR SWAP MARKETS --- p.42
Chapter 8. --- THE HONG KONG SWAP MARKET --- p.49
Chapter Part IV : --- Risks and Control in Swaps --- p.53
Chapter 9. --- COMMON RISKS AND CONTROL IN SWAPS --- p.54
Appendix --- p.60
Chapter I. --- INTRODUCTION TO OTHER MAJOR SWAPS --- p.61
Chapter II. --- USER GUIDE FOR USING THE DISKETTE FOR PRICING OF SWAPS --- p.71
Chapter III. --- QUESTIONNAIRE FOR INTERVIEWS --- p.79
Chapter IV. --- BRIEF REPORT ON INTERVIEWS --- p.81
Bibliography --- p.89
Exhibit I - Example 1 --- p.93
Exhibit I - Example 2 --- p.94
Exhibit I - Example 3 --- p.95
Exhibit II - Example 4 --- p.96
"Diskette for SWAP. XLS for pricing of interest rate swap, and LTFX contracts" --- p.97
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Wei-Lun, Liang, and 梁瑋倫. "An Empirical Study of the Interest Rate Parity in Australia." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/26509167926721117452.
Full textAbstract:
碩士國立高雄應用科技大學
金融資訊研究所
99
The aim of this paper is to examine whether the interest rate parity is truth or not, applying the Australian data from January 1990 to December 2010. A variety of time-series methodologies, cointegration test, and causality test, error correction models, are applied to investigate the relationship. The empirical results of the covered interest rate parity(CIRP) are summarized as follows: (1) The empirical results of Johensen’s cointegration show that the cointegration of forward premium and interest rate differential, which implied the CIRP is truth; (2) According to the results of the error correction model it is bi-directional causality between forward premium and interest rate differential。As to the uncovered interest rate parity (UIRP), the empirical results show as follows: (1) The empirical results of Johensen’s cointegration support there is a cointegration between forward exchange rate and expected futher exchange rate, which implied the UIRP is truth; (2) According to the results of the error correction model it is bi-directional causality between forward exchange rate and expected futher exchange rate。
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Hung, Ching Ping, and 鄭秉弘. "The Research of Pricing and Hedging Interest Rate Swap with Eurodollar Futures." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/61221611710296088166.
Full textAbstract:
碩士淡江大學
財務金融學系
87
Title of thesis: The Research of Pricing and Hedging Total pages: 66 Interest Rate Swap with Eurodollar Futures Name of Institute : Tamkang University, Graduate Institute of Money, Banking And Finance Graduate Date : June,1999 Degree Conferred : Master Name of student : (英文) Ching Ping Hung Advisor: Dr. William T. Lin (中文) 鄭秉弘 Dr. Jiann-Lian Chiu Abstract : In theory, when interest rates vary unpredictably (stochastic), forward and futures price are no longer the same. Thus, treating Eurodollar futures as if they were forward contracts, however, can lead to serious pricing errors. The purpose of this thesis is to characterize the differences between futures rate and forward rate and is to study the effect of those differences as pricing and hedging interest rate swaps. The model of CIR (1985) is used. The relation between Eurodollar futures and interest rate swaps are closer because the CME had added futures contracts with longer times to expiration (10 years). So, it is important to investigate the relation between Eurodollar futures and interest rate swaps. The correction to the differences between futures rate and forward rate appears to be incomplete. A two-year swap rate should be drifted down about 10 basis points, but seven-year swap rate should be drifted down about 60 basis points. In addition, hedge ratio should be higher. Given the size of swap market, the value of knowing how to pricing and hedging swaps correctly against Eurodollar futures price is enormous.
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Hwang, Wen-Jiunn, and 黃文俊. "A Study of Immunizing Strategies for Bond Portfolio with Interest Rate Futures." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/22371583553161823938.
Full textAbstract:
碩士淡江大學
財務金融學系
86
Title of Thesis : A Study of Immunizing Strategies Total Pages : 97 for Bond Portfolio with Interest Rate Futures Keyword : Duration, Immunization, Interest Rate Futures , Interest Rate Name of Institute : Graduate Institute of Money , Banking and Finance , Tamkang University Graduate date : June / 1998 Degree conferred : Master Name of student : Wen-Jiunn Hwang Advisor : Dr. Gin-Chung Lin 黃 文 俊 林 景 春 博士 Dr. Chin-Shen Lee 李 進 生 博士 Abstract : Futures, in combination with cash market instruments, enable investors to attain almost any duration desired. In this study ,therefore , we describe the use of futures contracts on financial instruments to modify the interest rate sensitivity of immunized portfolios. Traditional measurement of duration of futures contract is defined as the duration of the underlying financial instrument given the yield be expected to prevail at delivery date. Actually, the reinvestment risk of a cash portfolio is not constant over time prior to the delivery date if there are intermediate cash in flow occur during the hedging period. Additional Time-Varying Duration, a new measure of duration for future contract is derived to illustrate the time- varying property. The additional duration on the cash position results from a purchase of futures contract should change and increase over time prior to the delivery date. For offsetting the mark to marketing ,the reinvestment risk also become smaller. It can be efficient to trade off the reinvestment risk and market risk . Besides , it also can improve the hedging performance. In this study, we have demonstrated how portfolio managers can use financial futures to alter the interest rate sensitivity of immunized portfolios. We saw that futures are helpful : (1) in allowing investors to immunize for distant holding periods that could not be achieved solely in the cash market. (2) in offsetting the duration effect from purchases and /or sales of cash market instrument. (3) in rebalancing more precisely and at less cost.
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"Comparison of hedging effectiveness of short term interest rate: the case of Hong Kong." 1997. http://library.cuhk.edu.hk/record=b5889173.
Full textAbstract:
by Kwan Wai Kwong.Thesis (M.Phil.)--Chinese University of Hong Kong, 1997.
Includes bibliographical references (leaves 89-92).
ABSTRACT --- p.1
Chapter 1. --- INTRODUCTION --- p.2
Chapter 2. --- LITERATURE REVIEW --- p.5
Chapter 2.1 --- Traditional and Working's hedging theory --- p.5
Chapter 2.2 --- Portfolio theory and hedging --- p.5
Chapter 2.3 --- Selection of proper statistical estimation model --- p.7
Chapter 2.4 --- StaTIonarIty of optimal hedge ratio --- p.8
Chapter 2.5 --- time-varying hedging models --- p.9
Chapter 3. --- MARKETS AND INSTRUMENTS --- p.13
Chapter 3.1 --- Exchange Fund Bills --- p.13
Chapter 3.1.1 --- Rationale --- p.13
Chapter 3.1.2 --- Status and deployment of funds --- p.14
Chapter 3.1.3 --- Form of Bills --- p.14
Chapter 3.1.4 --- Pricing of the Bills --- p.15
Chapter 3.1.5 --- Development of the secondary market --- p.15
Chapter 3.1.6 --- Investors --- p.17
Chapter 3.1.7 --- Reasons for the success of the Bills programme --- p.17
Chapter 3.2 --- eurodollar futures contract --- p.18
Chapter 3.3 --- Treasury bill futures contract --- p.19
Chapter 3.4 --- Comparison between eurodollar and treasury bills futures --- p.20
Chapter 4. --- RESEARCH METHODOLOGY --- p.22
Chapter 4.1 --- DATA --- p.22
Chapter 4.2 --- DEFINITION of hedging effectiveness and comparison criterion --- p.23
Chapter 4.2.1 --- Definition of hedging effectiveness --- p.23
Chapter 4.2.2 --- Comparison of ex-ante hedging performance --- p.24
Chapter 4.3 --- Model description --- p.25
Chapter 4.3.1 --- Conventional hedging model --- p.25
Chapter 4.3.2 --- Error correction model (ECM) --- p.28
Chapter 4.3.2.1 --- Unit root test --- p.29
Chapter 4.3.2.2 --- Test of cointegration --- p.30
Chapter 4.3.2.3 --- Construction of the error correction model (ECM) --- p.31
Chapter 4.3.3 --- Time-varying hedging model --- p.32
Chapter 4.3.3.1 --- Time-varying conditional hedging theory --- p.32
Chapter 4.3.3.2 --- Test for the ARCH effect --- p.34
Chapter 4.3.3.3 --- Bivariate ARCH(q) error correction model --- p.35
Chapter 4.4 --- out-of-sample forecast --- p.37
Chapter 4.4.1 --- Rolling samples against expanding sample --- p.37
Chapter 4.4.2 --- Out-of-sample forecast without transaction cost --- p.37
Chapter 4.4.3 --- Out-of-sample forecast with transaction cost --- p.39
Chapter 5. --- DATA SUMMARY --- p.42
Chapter 5.1 --- Preliminary analysis --- p.42
Chapter 5.2 --- Unit root analysis --- p.43
Chapter 5.3 --- Co-integration analysis --- p.44
Chapter 6. --- EMPIRICAL RESULTS --- p.45
Chapter 6.1 --- Model estimation --- p.45
Chapter 6.2 --- Ex-ante hedging effectiveness with no transaction cost --- p.47
Chapter 6.3 --- Ex-ante hedging effectiveness with transaction cost --- p.49
Chapter 6.4 --- Summary and discussion on empirical findings --- p.50
Chapter 6.4.1 --- Hedging superiority between the two futures contracts --- p.50
Chapter 6.4.2 --- Magnitude of hedging performance --- p.51
Chapter 6.4.3 --- Hedge ratio estimates --- p.56
Chapter 6.4.4 --- Hedging effectiveness across investment horizon --- p.57
Chapter 6.4.5 --- Model superiority --- p.57
Chapter 7. --- CONCLUSION --- p.59
APPENDIX --- p.84
Chapter I) --- derivation of optimal hedge ratio under static hedging strategies --- p.84
Chapter II) --- Derivation of optimal hedge ratios under dynamic hedging strategies --- p.85
Chapter III) --- Causality test on the lead lag relationship between HKEFB and the two futures contracts --- p.87
REFERENCES --- p.89
42
Wu, Pinh-Tsung, and 吳秉宗. "Modeling Daily Value-at-Risk for Long-term Interest Rate Futures Using FIGARCH Models." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/58888389270704245563.
Full textAbstract:
碩士國立政治大學
國際貿易研究所
93
Value-at-Risk (VaR) has become the standard measure used to quantify market risk recently, and it is defined as the maximum expected loss in the value of an asset or portfolio, for a given probability α at a determined time period. This article uses the FIGARCH(1,d,1) models to calculate daily VaR for long-term interest rate futures returns for long and short trading positions based on the normal, the Student-t, and the skewed Student-t error distributions. The U.S. Treasury bonds futures, Treasury notes futures, and municipal notes index futures of daily frequency are studied. The empirical results show that returns series for three interest rate futures all have long memory in volatility, and should be modeled using fractional integrated models. Besides, the in-sample and out-of-sample VaR values generated using FIGARCH(1,d,1) models are more accurate than those generated using traditional GARCH(1,1) models. For different distributions among FIGARCH(1,d,1) models, the normal FIGARCH(1,d,1) models are preferred for in-sample VaR computing whenα=0.05, and the Student-t and skewed Student-t models perform better for in-sample VaR computing whenα=0.025-0.0025. Nonetheless, for out-of-sample VaR, the Student-t and skewed Student-t FIGARCH(1,d,1) models perform better in the case α=0.05 while the normal FIGARCH(1,d,1) models perform better in the case α=0.01. The VaR values obtained by the Student-t and skewed Student-t FIGARCH(1,d,1) models are too conservative whenα=0.01.
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KUNG, CHI-HSUN, and 龔紀勳. "The Influences on the Spot's Rate of Return and Volatility Caused by the Large Futures Trader's Open Interest of Taiex Futures." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/jgyfb2.
Full textAbstract:
碩士南華大學
財務金融學系財務管理碩士班
106
This study explores the impacts of Taiwan's futures market information on its rate of spot return and its volatility. The research object is the Taiwan weighted stock price index futures. The sample is from the TEJ (Taiwan Economic Journal) and the daily data on futures exchange which including the spot return rate, Taiwan weighted stock price index, all open interest, the capacity of uncovered position of the top five large traders and the top five specific corporations’ open interest. The time span is from January 3, 2005 to September 30, 2016. We used the GJR-GARCH model to explore the impacts of emotional indicators on the spot rate of return and its volatility, based on the futures open interest information and converted into the emotional indicators. The results show that the first 20 days of the spot market average return rate, the sentiment of the top five large traders sellers, and the sentiment changes of the top five large traders impact the spot market rate of return significantly. The sentiment of the top five large traders buyers and the sentiment changes of the top five traders have additional effects on the spot market rate of return of the top five special corporation buyers when the sentiment reach over 50. When the top five special corporation buyers sentiment reach over 50, the top five special corporation buyers will reduce the volatility of the spot market rate of return.
44
葉月娥. "Taiwan Futures Open Interest and the NT Dollar Exchange Rate Effect to Trading Strategies of TXO." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/58599441206689800186.
Full textAbstract:
碩士國立彰化師範大學
商業教育學系
101
This research is based on the samples of the NTD against the USD interbanks at closing rate from Taipei Forex Inc. and the foreign investor daily Open Interest volume of Taiwan Futures Exchange(TAIFEX), by using the daily Interbank dollar traded at the exchange rate differences and the foreign Investors long and short Futures open interest. This research first estimates the trend of Taiwan Stock Index, then develops TXO trading Strategies. The research period is from April 30, 2010 to April 26, 2013. The empirical results show that as far as executing a Single Option on basic treading strategies is concerned, Short Put is the best trading strategy; for a trading month of Strike Price, the different trading strategies would come to different conclusions; regarding a Offsetting time,offsetting in next day is possible to get higher profit with less risk.
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Chang, Jong-guang, and 張中光. "Strategic Research on Optimal Futures Hedge in Considering Structures of Exchange Rate and Stochastic Interest Rates." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/05073746342664229814.
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Chen, Chi-Sheng, and 陳啟賢. "The Study of the relationship in Taiwan Stock Indexes, Futures, Taiwan 50 ETF and Interest Rate." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/26010575889186556150.
Full textAbstract:
碩士國立高雄應用科技大學
商務經營研究所
98
This paper examines the relationship of short-term and long-term equilibrium on Taiwan stocks index, futures, Taiwan 50 ETF, Taiwan electric index, Taiwan financial index and interest rate. We utilize unit root test, cointegration test, vector error correction model, impulse response function analysis and forecast error variance decomposition to investigate. Our findings are as follows： First, six variables are unstable series data. The fact is consistent with documents that show most of time series data are random walked. Second, in cointegration test, among four groups there is only one cointegration equation in each group. Investors can make a long-term investment portfolio criterion based on these cointegration relationship. Third, in vector error correction model, Taiwan stock index will be impacted by its own volatility and ETF 50 volatility. Additionally, Taiwan financial insurance index do not be influenced by its own volatility. Moreover, Taiwan electric index can be impacted by its own volatility. Finally, Taiwan financial insurance index is influenced by its own volatility and also the Taiwan stock index futures.
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Chi, Jan Tsung, and 詹宗錡. "The Research of The Optimal Hedge Ratios and Hedge Performarce For Domestic Short Term Interest Rate Futures." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/66075353608070985555.
Full textAbstract:
碩士亞洲大學
經營管理研究所
94
The purpose of this research is to estimate optimal hedge ratio and compare hedge performance by using Naive model , OLS model and VECM model . The data include Taiwan 30-Day Commercial Paper Futures and Taiwan 10-Day , 90-Day , 180-Day Commercial Paper . The major results are as follows： 1. By using unit roots testing of all data , we find that the significance of unit roots and the nonstationarity of the price series . Hence , price series should be differenced to induce stationary . 2. The result of cointegration test has shown that there is a long-run equilibrium relationships between spot and futures prices . Consequently , a cointegration measure can be taken into account in the hedge model . 3. We find the same result in detecting the effects of in-of sample periods and out-of sample periods . The OLS model performs more well than all other hedge models for Taiwan 30-Day Commercial Paper Futures , and the VECM model is the second best . The results also has indicated that the VECM model can not improve the hedge performance . The portfolio including Taiwan 30-Day Commercial Paper Futures and Taiean 90-Day Commercial Paper can make the best hedge performance.
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Tsai, Hsin-Kun, and 蔡信坤. "A Study of Spread Arbitrage Strategies on Intermarket With Forward Contracts For Interest Rate －TAIFEX TAIEX Index Futures & SIMEX MSCI Taiwan Index Futures." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/97769876550312283901.
Full textAbstract:
碩士朝陽大學
財務金融系碩士班
88
Abstract The thesis studies the profitability of Intermarket Stock Index Futures Arbitrage between TAIFEX and SIMEX. Try to establishing a complete risk-free arbitrage equilibrium equation through some parameter, including Forward rate, Exchange rate, Daily Open and Settlement price of stock index. Most of important, take NT-US exchange rate into account to make the arbitrage strategy more practical. Depending on the empirical data, Following conclusions can be made： 1. If forgetting the trading cost, under the hypothesis of all kind of riskless interest rate , The most daily-average profit is NT$ 9,827and meet to statistical significant level request of 1%, the less daily-average profit is NT$ 2,752 but not reveal any statistical significant. 2. Adding the trading cost, under the hypothesis of all kind of riskless interest rate, the most daily-average profit is NT$ 7,666 and meet to statistical significant level request of 1%, the less daily-average profit is NT$ 729 but not reveal any statistical significant either. For profitability and statistical significant, the arbitrage strategy of Inter-month are superior to Intra-month , but accounting for the number of profit, on the opposite situation, So we can conclude that Inter-month arbitrage strategy have more profit expect value than Intra-month.
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Chinoy, Sajjid Z. "Currency risk premia and unhedged, foreign-currency borrowing in emerging markets." 2001. http://catalog.hathitrust.org/api/volumes/oclc/51891661.html.
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Lin, Chia-Hung, and 林家宏. "The research of the hedge upon the Commercial Paper and the Interest-Rate Futures during thirty days in Taiwan." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/81608376851797470665.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
93
The study discussed the hedge effect between the Commercial Paper and the Interest-Rate Futures during thirty days in Taiwan. The hedge periods we discuss were one day, five days, ten days fifty days and twenty days. The model we used comprises the Naïve model, the OLS model, the VECM model and the GARCH model. Then we used the four models to demonstrate in the light of different hedge periods. There were two hundred fourteen data during from the May twentieth 2004 to the April eighth 2005. The within-sample data was during from the May twentieth 2004 to the December thirty-first 2004. The without-sample data was during from the May first 2005 to the April eighth 2005. The result showed that: at first, by the unit test show that the piece series of the Commercial Paper and the Interest-Rate Futures during thirty days were non-stationary. The spread is stationary and cointegration after the difference. The second besides the Naïve model, the hedge period was positive under the fifteen and twenty days. The best solutions were fifteen days under the VECM model and the twenty days under the GARCH model. They could reduce the risks above ten percents. At last the total achievement about the models. The Naïve model is useless and the VECM model is the best.