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商品期貨開放對大宗物資產業採購行為影響之研究符明中, Fwu, Ming-Chung Unknown Date (has links)
國內黃豆、玉米與小麥等原料均自國外進口,而進口業者主要面臨採購風險包括價格風險與匯率風險兩類,現存的避險工具除了遠期契約外,期貨工具也早已成為國際間有效的避險工具,故本研究以國內大宗物資業為研究對象,探討其在開放自由進口後,所採取的避險方式與期貨工具使用狀況與目的。
本研究之主要發現如下:
1. 大宗物資業者並未採取規避價格風險的動作
目前國內大宗物資業者基於經營者的心態、國內外市場價格的相關性低、國內下游業者的交易習慣及交易成本的等因素考量,並未考慮採用與現貨部位相反方向的期貨操作來規避價格波動的風險。此外,由於業者是利用期貨工具決定穀物本身的成本,因此在期貨上是採只買不賣的交易方式,若是在買進期貨同時,另外再買進一個賣權(Put Option),將可避免期貨價格下跌的風險。但國內業者基於經營者心態與交易成本提高等因素,並未考慮使用期貨與選擇權搭配避險的作法。
2. 經營者的心態將影響廠商使用期貨、選擇權等交易工具的目的
使用期貨與選擇權工具的目的包括避險與投機兩部份。目前國內業者並未考慮使用此工具來從事避險的動作,但有部份業者基於本身經營者的心態與本身的人才與經驗,使用此工具從事投機的動作,其目的主要是培養採購人員對市場的敏感度與臨場感,若是業者對本身人才與經驗極具信心,經營者與組織文化的認同,將會考慮操作期貨或選擇權工具來賺取利潤。
3. 大宗物資業者對於期貨投機操作,採取控制交易量的風險控管方式
期貨交易本身只須支付少量的保證金即可進場操作,本身為具有相當高槓桿效果的交易,價格波動將立刻反應到保證金要求,若是保證金低於維持保證金,期貨經紀商將有權進行砍倉的動作。國內從事期貨投機操作的廠商,對於公司內部的風險控管,採取控制交易量或控制金額的方式將本身風險鎖定,以避免發生失控的狀況。
4. 人才與經驗將是影響廠商是否採取規避匯率風險的動作之主因
雖然大宗物資業者在採購時將同時面對價格與匯率波動風險,但目前業者的付款方式是請銀行開信用狀給美國穀物供應商,從開匯、押狀到還款共有180天的還款期限,因此廠商可參考銀行的意見,決定還款的時機與金額。此外,由於缺乏相關人才與經驗,使得廠商並未使用遠期美金或期貨操作來規避匯率波動的風險。
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我國黃金期貨造市者制度之規劃陳曉芳 Unknown Date (has links)
世界上成功之交易所大多可以提供附廣度以及深度的商品,滿足各種投資人。若交易所提供證券、金融期貨、商品期貨、選擇權等商品以供投資人選擇,這就是附有廣度的交易所,具備完整性的市場,此外流動性也是交易所各類商品是否得以成功上市之關鍵因素之一,高度流動性可以降低交易成本,提高投資人繼續參與市場之意願,進而帶動商品後續的成長動力,這就是附有深度的市場。兼具廣度與深度性質之交易所,不僅僅能滿足各類投資人之需求,更能幫助經濟之發展。
臺灣期貨交易所(Taiwan Futures Exchange;TAIFEX)現行交易商品包括臺股期貨、電子期貨、金融期貨、小型臺指期貨、臺灣50指數期貨等等,這些商品是以金融期貨(Financial futures)為主,為了建構市場的完整性,增加市場的廣度,是有必要推出商品期貨(Commodity futures),不僅可滿足更多投資大眾之需求、促進商品現貨之避險套利活動,並且有助於市場效率。在眾多商品期貨中挑選貴重金屬期貨當成先發在目前此一環境是相當重要的,因為天然資源最大的先天限制在於蘊藏量在短期下是有限量的,再加上近幾年總體經濟面臨通膨壓力下,與通膨高度相關的黃金投資將再度成為市場上的寵兒。在這樣背景之下臺灣期貨交易所擬在2006年3月27日推出第一檔商品期貨-黃金期貨是很受肯定的,因此本論文將以黃金期貨(GDF)為例子,進一步闡釋如何為商品期貨市場建立相關的提供流動性之制度與計畫,使得市場的深度得以透過此等制度而成功建造。
在國外交易所剛推出商品期貨或者金融期貨都會面臨到流動性不足之現象,但是前者標的商品並不若後者來的具備齊一性,使商品期貨流動性的問題較金融期貨來更受重視。因此國外交易所在推出商品期貨常會順勢引入造市者制度,透過造市者在市場建立之初創造流動性,使買賣價差縮小,將有助於交易者的交易成本降低,另外遠期現貨價格也將透過高流動性逐漸反映在期貨的價格上,避險者也會有信心進場避險,如此一個成功的期貨商品才算是真正成功推出。所以造市者制度對於新期貨商品之推出是很關鍵的,尤其是對商品期貨更是如此,因此臺灣期貨交易所在推出黃金期貨時,為了樹立成功的商品期貨典範並且吸引更多投資者進入商品期貨市場交易,實有建立屬於期貨市場造市者制度之必要。 / Successful exchanges could provide both breadth and depth of financial products to fulfill investors’needs. An exchange filled with breadth indicates that it could provide many different kinds of financial products to investors. As for depth, also called liquidity, it means the ease of entering or exiting a market. Generally speaking, liquidity plays an important part and is also one of the successful keys in financial markets. Because high liquidity could reduce the transaction cost and enhance investors’interests towards the markets, it could bring the growth engine of financial products. As a result, an exchange filled with breadth and depth could not only fulfill investors’needs, but also help the development of the economy.
As for Taiwan Futures Exchange (TAIFEX), until 27th March, 2006, it has already provided TAIEX futures, Taiwan 50 futures, and so on. Among these products, it is easy to tell that TAIFEX only provides financial futures but no commodity futures. Therefore, to improve the completeness and efficiency of the market, TAIFEX considers providing commodity futures so that all kinds of investors, such as speculators, hedgers, and arbitrager, could be effectively satisfied. As for the underlying assets of this commodity futures, since the price of gold has been getting higher and higher, and financial products associated with gold have also become more important, TAIFEX decided to launch gold futures on 27th March, 2006.
Based on the previous background, this thesis would concentrate on illustrating how liquidity of commodity futures could be improved by executing the market maker program of gold futures. Usually, when exchanges launched new futures, most of them had difficulties in the illiquidity. Moreover, the underlying assets of commodity futures are not as identical as that of financial futures. Therefore, exchanges need to make more efforts in creating the liquidity of commodity futures. Market maker program is a good solution to this problem. Through actively trading of the market makers, it could increase market’s liquidity, reduce bid-ask spread, and further decrease the transaction cost. As a result, in order to provide successful commodity futures and attract more investors entering the markets, it is necessary for TAIFEX to adopt and design their own market maker program. To sum up, if TAIEX set a good example through gold futures, it will pave the light way for the other kinds of commodity futures.
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