Forecast of Future Spot Exchange Rates from Current Currency Futures Prices

[[abstract]]中文摘要 本文以芝加哥商業交易所中的日圓期貨、英鎊期貨、瑞士法郎期貨與東京金融 期貨交易所的美元期貨由1996 年1 月至2006 年8 月的日資料來驗證本文的兩個 研究目的： 1. 持有成本模式的定價模式對於外幣期貨之配適效果為何？ 2. 目前的外匯期貨是否可以預測未來的現貨匯率價格？ 根據本文的實證結果，我們得到以下結論： 1. 實證上持有成本模式運用到芝加哥商業交易所中的日圓期貨期貨是有相當好的 配適效果。但對於芝加哥商業交易所中的英鎊期貨、瑞士法朗期貨、東京金融期 貨交易所的美元期貨配適性則不佳。 2.本文的四個外幣期貨契約的確含有次一日現貨匯率價格的資訊，不過仍無法完全 正確預期次日現貨匯率價格。[[abstract]]ABSTRACT In this thesis, use the daily data on Japanese yen, British pound, Swiss franc futures contracts traded on Chicago Mercantile Exchange and the US dollar futures contract traded on Tokyo Financial Exchange over the interval from January 1996 to August 2005 to examine the two major research purposes. The two major purpose of this thesis are summarized as follows: 1. How well is the fitness test of cost-of-carry model? 2. Can the current currency futures prices predict future spot exchange rates? According the empirical results, we make the two conclusions: 1. For the four exchange futures contracts, cost-of-carry model fits perfectly on Japanese yen futures contract traded on Chicago Mercantile Exchange. However the fitness of the cost-of-carry model on British pound, Swiss franc futures contracts traded on Chicago Mercantile Exchange, and U.S. dollar futures contract traded on Tokyo Financial Exchange are not adequate. 2. The four exchange futures contracts contains the information about spot exchange rates on the next day, but the four exchange futures contracts prices can not predict perfectly future spot exchange rates