Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: A unique data set consisting of economists' expectations on key economic indicators was examined within the context of the controversial normal backwardation theory of Keynes. The economists' expectations were regarded as the expected future spot price and the relationship between them and the corresponding futures contracts was analysed. The respective economic indicators were: i) the yield from aparastatal Bond, ii) the yield from Government Bonds, iii) the rate of the 90 day Banker's Acceptance (BA) Deposit Rate and iv) the Rand/Dollar (R/$) Exchange Rate for the past seven years, i.e. 1995 to 2001. The accuracy of the economists' predictions was tested both on a visual basis and the relationship between the expected values and the futures prices was plotted in a graphical format. A nonparametric statistical procedure was used to determine whether the economists' expectations were of any value. To put it differently, the question being posed is: do these economists, as a group, possess some superior forecasting skills? Two different conclusions were reached from the analysis: First conclusion: by accepting the normal backwardation theory, it implies that the contango theory also holds. Therefore, when analysing the data set visually - depending on which theory it supports - the futures price must trade consistently below or above the expected future spot price. For this particular analysis the yield of the bond, and not its price, was the important factor. In most cases the plotted relationships between the expected values and the futures prices were found to support the contango theory and, to a lesser extent, the normal backwardation theory. Hence, speculators were, in order to make profits, predominately sellers of futures contracts. Second conclusion: the strongest conclusion, however, follows from the statistical tests conducted on the expected values. It was found that economists do possess some superior forecasting skills and if they had used their predictions and had taken the corresponding market positions, they would have been consistent winners in the futures market. Their reward would be mainly for their ability to forecast eventual spot prices and, to a lesser extent, for their risk bearing. It was impossible to link the two conclusions to confirm the normal backwardation theory, for the particular South African data set. The evidence is thus consistent with the hypothesis that the futures price is an unbiased estimate of the expected future spot price. / AFRIKAANSE OPSOMMING: 'n Unieke datastel, bestaande uit ekonome se vooruitsigte van kern ekonomiese aanwysers, is ondersoek binne die konteks van die omstrede normale terugwaardasie-teorie (d.i. "normal backwardation theory") van Keynes. Die ekonome se vooruitsigte is aanvaar as die verwagte toekomstige kontantprys en die verhouding hiertussen en die ooreenstemmende termynpryse is ontleed. Die onderskeie ekonomiese aanwysers was: i) die opbrengs op 'n Semi-Staatseffek, ii) die opbrengs op Staatseffekte, iii) die koers van die negentig-dae-Bankaksepte (BA) Depositokoers en iv) die Rand/Dollar (R/$) Wisselkoers oor die afgelope sewe jaar, d.w.s. 1995 tot 2001. Die akkuraatheid van die ekonome se vooruitskattings is op 'n visuele basis vergelyk, en die verhouding tussen die verwagte prys en die termynpryse is in grafiese formaat gekarteer. 'n Nie-parametriese statistiese prosedure is gebruik om vas te stel of hierdie ekonome se vooruitsigte van enige waarde was. Anders gestel, die vraag is: beskik hierdie ekonome as 'n groep oor sekere superieure vooruitskattingsvaardighede? Die volgende twee afsonderlike gevolgtrekkings is geformuleer: Eerste gevolgtrekking: deur die normale terugwaardasie-teorie te aanvaar, impliseer dit dat die contango-teorie (d.i, "contango theory") ook geldig is. Dus, wanneer die datastel visueel getoets word - afhangende van watter teorie dit ondersteun - moet die termynprys konsekwent bo of onder die verwagte toekomstige kontantprys verhandel. Vir hierdie bepaalde analise was die opbrengs van die staatseffek die belangrike faktor en nié die prys daarvan nie. In die meeste gevalle het die gekarteerde verhouding tussen die verwagte prys en die termynprys getoon dat dit die contango-teorie ondersteun het en, in 'n mindere mate, die normale terugwaardasie-teorie. Derhalwe was spekulante, ten einde wins te maak, oorwegend die verkopers van termynkontrakte. Tweede gevolgtrekking: die belangrikste gevolgtrekking volg egter uit die statistiese toetse wat uitgevoer is op die verwagte pryse. Daar is bevind dat ekonome wel oor superieure vooruitskattingsvaardighede beskik en dat, indien hulle hul vooruitskattings gebruik en die ooreenstemmende markposisies ingeneem het, hulle konsekwent wenners in die termynmark sou gewees het. Hulle vergoedings sou hoofsaaklik gewees het vir hulle vermoë om uiteindelike kontantpryse te voorspel en, in 'n mindere mate, vir hulle risiko-blootstelling. Dit was onmoontlik om hierdie twee vergelykings met mekaar te verbind om sodoende die normale terugwaardasie-teorie te onderskryf vir die betrokke Suid-Afrikaanse datastel. Die bewyslewering is dus konsekwent met die hipotese dat die termynprys 'n onsydige skatting van die verwagte toekomstige kontantprys is.

期貨交易之集中市場自一八四八年芝加哥期貨交易所(Chicago Board of Trade，CBOT)成立以來，不論交易商品種類及合約成交量均日漸成長，並提供避險者及投機者規避價格變動風險及賺取價差之機會。學說與實務不斷地發展與研究，於法律規範與經濟分析之面向亦臻成熟圓融之境界。反觀國內，此套精密設計的交易制度並未導入正軌，而淪為體制外交易，地下期貨公司濫設，假期貨交易之名行之多年，加以國人不成熟之投機心態，整個期貨市場上瀰漫賭博之氣氛，與國外期貨契約市場相差甚鉅，單憑數簡陋之行政規則實無法收取任何成效，如何導正此不正常現象，實乃當務之急。幸而，立法院於民國八十一年七月十日三讀通過「國外期貨交易法」，始賦予期貨交易合法之法律上地位；至八十三年四月，許多期貨經紀商正式營運，樹立我國期貨交易制度嶄新的里程碑。本論文共分五章，茲簡述各章內容：第一章「緒論」，述及本文之研究動機與研究目的，主要是有鑑於國外期貨交易法之公布，提供國人從事國外期貨交易之準據，擬探討期貨經紀商與客戶間之法律關係。第二章「期貨交易制度之簡介」，介紹期貨交易之沿革、意義、流程、法律性質與當事人，期能就期貨交易制度有概括之輪廓。第三章「期貨經紀商」，主要針對期貨經紀商之意義、期貨經紀商與客戶間之法律關係與期貨仲裁制度，配合美國法之相關規定，斟酌國外期貨交易法之各項問題。第四章「期貨經紀商之民事法律責任」，以損害賠償責任為對象，比較我國法（包括國外期貨交易法及民法）與美國法之差異。第五章「結論」，綜合歸納上述四章之見解，扼要地整理總結。

Text in English with summaries in English and Afrikaans / The introduction of single stock futures to a market presents the opportunity to assess an individual company's response to futures trading directly, in contrast to the market-wide impact obtained from index futures studies. Thirty-eight South African companies were evaluated in terms of a possible price, volume, and volatility effect due to the initial trading of their respective single stock futures contracts. An event study revealed that SSF trading had little impact on the underlying share prices. A normalised volume comparison pre to post SSF trading showed a general increase in spot market trading volumes. The volatility effect was the main focus of this study with a GARCH(1,1) model establishing a volatility structure (pattern of behaviour) per company. Results showed a reduction in the level and changes in the structure of spot market volatility. In addition, a dummy variable regression could find no evidence of an altered company-market relationship (systematic risk) post futures. / Business Management / M.Com. (Business Management)

Choices made in highly uncertain settings problematise the concept of rationality in decisions-making. Notably, educational choices are conducted on uncertain ground as future prospects in labour markets are always risky. Educational choices should also correspond to values of self-actualisation – derived from ideologies of High modernity (individualisation) –which in turn makes the decision even harder. Many studies have researched risk-taking and economic risk assessments in educational choices. Studies have also shown the effects of individualisation and capitalisation in modern societies. However, few studies on education take both economic and self-developing values into consideration, and even fewer examine the rationality in self-actualisation. This dissertation analyses rationality derived from social circumstances – in this case academia – in order to explain how students make their educational decisions and how they are affected by academic settings during their studies. To investigate this, a survey was constructed and sent to students. Statistical (correlation; group comparisons) and qualitative content analysis was used to interpret the data. The findings suggest that rationality in educational decisions mainly derives from self-interest, but also that academic settings promote this approach. This implicates that uncertainty is dealt with in social environments, and that rationality is essentially a social construction built and harboured within institutional settings.

Thesis (MBA)--Stellenbosch University, 2003. / ENGLISH ABSTRACT: When hedging with futures contracts the hedge ratio is one of the fundamental figures needed to set up a successful hedging strategy. The Mean Variance framework has been used for some time to calculate hedge ratios for this exact purpose. Certain assumptions are implicit in the Mean Variance framework such as the assumed normality of returns and assumed quadratic utility functions of investors. The validity of these assumptions has been questioned in the literature. The Mean Gini framework is first and second order stochastically dominant implying that there is no assumption regarding the return process or the utility function of investors. This study compares these two frameworks regarding the hedge ratios generated by each and their subsequent hedging effectiveness. The results indicate that neither one of the two frameworks generate the most effective hedge ratios all the time. The Mean Gini framework is, however, preferred above the Mean Variance framework for a significant number of futures contracts evaluated. It can therefore be concluded that making use of the Mean Variance framework for all futures contracts would have resulted in numerous ineffective hedging situations. / AFRIKAANSE OPSOMMING: Wanneer verskansing met termynkontrakte gedoen word is, die verskansingsverhouding een van die fundamentele veranderlikes waaroor 'n besluit geneem moet word. Vir 'n geruime tyd word die Minimum Variansie verskansingsverhouding vir hierdie doel gebruik. Implisiet in die Minimum Variansie raamwerk is die aannames dat opbrengste normaal verdeel is en dat die beleggersnutsfunksie kwadraties van aard is. Die geldigheid van hierdie aannames het reeds heelwat kritiek in die literatuur ontlok. Die Gemiddelde Gini raamwerk is eerste en tweede graads stochasties dominant, wat impliseer dat geen aannames aangaande die opbrengs of die beleggersnutsfunksie gemaak word nie. Die studie vergelyk beide raamwerke rakende die verskansingsverhoudings deur elk gegenereer en die gepaardgaande verskansingdoeltreffendheid. Die resultate toon dat nie een van die twee raamwerke vir alle kontrakte die mees effektiewe verskansingsverhouding genereer nie. Die Gemiddelde Gini raamwerk word egter vir 'n beduidende aantal van die termynkontrakte bestudeer bo die Minimum Variansie raamwerk verkies.

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / abstract / Statistics and Actuarial Science / Master / Master of Philosophy

This paper investigates the market microstructure of the Taiwan Stock Exchange Capitalization weighted Stock Index (TX) futures contracts traded on the Taiwan Futures Exchange which quite recently switched from an electronic periodic call auction market to an electronic continuous auction market. No doubt it is a rare opportunity for us to deeply look into market quality under different trading mechanisms. Using time-stamped transaction data of trades and quotes covering the period from January 2001 to September 2002, overall behavior for all TX Futures contracts are explored first—including intraday and daily patterns in the bid-ask spreads, volume, trade size, volatility, liquidity ratio and other characteristics. Next, in order to observe whether long-term contracts and short-term contracts have different patterns, the sample is divided into two groups—quarterly expiration contract months (March, June, September, and December) and non-quarterly expiration contract months, and the intraday/daily patterns are displayed. Moreover, since TAIFEX transferred trading mechanism on July 29th 2002 from an electronic periodic call auction market to an electronic continuous auction market, intraday/daily patterns are separately illustrated and compared before and after July 29th 2002, and ANOVA F-Statistic and Kruskal-Wallis tests are also taken to provide more insights into time-varying behavior under two different kinds of market trading mechanisms. The empirical results indicate that the most active periods correspond to the TAIFEX’Ss opening five-minute interval (8:45-8:50), TSEC’Ss opening five-minute interval (9:00-9:05), and TAIFEX’S closing five-minute interval (13:40-13:45) with wide spreads and large trade sizes. In 54 five-minute intervals for the regular trading session of both TAIFEX and TSEC from 9:00 a.m. to 1:30 p.m., the behavior of spreads, volume and trade sizes mainly reveal U-shaped patterns. The average trading volume within each time interval plunges, except within the final 5 minutes closing procedure interval, after TAIFEX transferred trading mechanism from an electronic periodic call auction market to an electronic continuous auction market with wider spreads and narrower volatility, in general. Moreover, intraday patterns of the average volume under new microstructure exhibit a right angular U-shape while intraday patterns of volume under old microstructure reveal a smooth U-shape. The evidence suggests a conjecture that the transfer of market trading mechanism might result in informed traders’ altering their intraday behavior and might lessening their trading desire. Further evidence in confirmation of this statement is left to future work. / This paper investigates the market microstructure of the Taiwan Stock Exchange Capitalization weighted Stock Index (TX) futures contracts traded on the Taiwan Futures Exchange which quite recently switched from an electronic periodic call auction market to an electronic continuous auction market. No doubt it is a rare opportunity for us to deeply look into market quality under different trading mechanisms. Using time-stamped transaction data of trades and quotes covering the period from January 2001 to September 2002, overall behavior for all TX Futures contracts are explored first—including intraday and daily patterns in the bid-ask spreads, volume, trade size, volatility, liquidity ratio and other characteristics. Next, in order to observe whether long-term contracts and short-term contracts have different patterns, the sample is divided into two groups—quarterly expiration contract months (March, June, September, and December) and non-quarterly expiration contract months, and the intraday/daily patterns are displayed. Moreover, since TAIFEX transferred trading mechanism on July 29th 2002 from an electronic periodic call auction market to an electronic continuous auction market, intraday/daily patterns are separately illustrated and compared before and after July 29th 2002, and ANOVA F-Statistic and Kruskal-Wallis tests are also taken to provide more insights into time-varying behavior under two different kinds of market trading mechanisms. The empirical results indicate that the most active periods correspond to the TAIFEX’Ss opening five-minute interval (8:45-8:50), TSEC’Ss opening five-minute interval (9:00-9:05), and TAIFEX’S closing five-minute interval (13:40-13:45) with wide spreads and large trade sizes. In 54 five-minute intervals for the regular trading session of both TAIFEX and TSEC from 9:00 a.m. to 1:30 p.m., the behavior of spreads, volume and trade sizes mainly reveal U-shaped patterns. The average trading volume within each time interval plunges, except within the final 5 minutes closing procedure interval, after TAIFEX transferred trading mechanism from an electronic periodic call auction market to an electronic continuous auction market with wider spreads and narrower volatility, in general. Moreover, intraday patterns of the average volume under new microstructure exhibit a right angular U-shape while intraday patterns of volume under old microstructure reveal a smooth U-shape. The evidence suggests a conjecture that the transfer of market trading mechanism might result in informed traders’ altering their intraday behavior and might lessening their trading desire. Further evidence in confirmation of this statement is left to future work.

This study concerns the evaluation of alternative pricing strategies involving options on feed grains futures contracts during the period of 1973-1986. To predict the option premiums that would have occurred at various points in this time period, the study did research on market premiums of options on corn futures contracts from March 1, 1985 until December 31, 1985. The research showed that market premiums conformed closely to the premiums estimated by Black model of options pricing. The generalized stochastic dominance with absolute risk aversion function intervals is applied in the study in order to evaluate the strategies. The results showed that under different risk preferences, (DARA and CARA), the commodity options strategies dominate the cash sale strategy, but do not dominate the hedging by selling futures contract strategy. Options may provide alternatives for feed grains producers and traders. Put (call) options provided protection from losses resulting from falling (raising) cash price and may somtimes raise average income/margin of feed grain producers and traders.

台灣期貨市場收盤價的操縱現象並不明顯，推論可能的理由為收盤時採用不連續的搓合機制，使有意操縱收盤價的交易者的操縱意願降低。報酬與操縱呈現負相關，可能的原因為操縱者在不同市場間進行操縱，即使在某一市場虧損，仍能在另一市場獲得更多的報酬。激發操縱交易行為的因子最顯著的解釋變數為交易者的平均累積部位成本，而非收盤價的變動。 / This paper uncovers the trade-based manipulative trading in TAIFEX with the detailed trade-level data. The manipulation of closing prices is rather unremarkable. The call auction may be the reason. Revenue and manipulation have a negative remarkable relation. One of the reasons could be that a manipulator trades between different markets at the same time. He can ear more return in one market to cover the loss in another market. The other possible reason is that the informed trader wants to mislead other traders. This paper finds out that the most explainable motivation of manipulation is the cost of the held position. The outcome supports the negative relation between revenue and manipulation.