Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado. / This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.

Made available in DSpace on 2010-04-20T21:00:10Z (GMT). No. of bitstreams: 4 Rogério Iwao Iuamoto.pdf.jpg: 21733 bytes, checksum: ae70a53595d899882e7ba53ca13884a0 (MD5) Rogério Iwao Iuamoto.pdf.txt: 67544 bytes, checksum: 3e291295919739fbe2d1506ddab4a8be (MD5) Rogério Iwao Iuamoto.pdf: 304944 bytes, checksum: aef90c7ce7bd85f177dea09ced7d2fe2 (MD5) license.txt: 4886 bytes, checksum: f01ffe1ad8c15363c7d17b344d55ba8f (MD5) Previous issue date: 2009-02-02T00:00:00Z / O presente estudo demonstra que o mercado brasileiro cambial de forward reflete adequadamente a visão dos economistas – obtida junto a pesquisas de mercado realizadas periodicamente pelo Banco Central do Brasil – quando se modela o prêmio pelo risco cambial através de modelos auto-regressivos condicionais generalizados de heteroscedasticidade na Média (GARCH-M).

本文係針對臺灣50指數期貨與基金於2003年6月30日上市之後，臺灣期貨及現貨市場報酬率間領先落後關係與波動性的變化來進行探討。研究分為兩部份，第一部份是觀察臺灣50指數期貨與現貨之間的關聯性，並探討臺灣加權股價指數、金融保險類股股價指數及電子類股股價指數期貨與現貨市場間的變化；第二部份是採用可模擬現貨走勢的臺灣50指數基金、國泰金及臺積電的股價來做為現貨的替代變數，觀察其與期貨之間的關連性是否與第一部份的結果類似，若是實證結果極為相同，則相關機構與一般投資人將可運用各期貨與其標的指數中市值最大的股票來進行套利操作。此外，本文在進行模型估計時，首度採用一階段估計法，來聯合估計雙變量GARCH模型中的條件平均數方程式與條件變異數方程式，以避免過去相關文獻將兩條方程式個別估計時所造成的估計誤差。 實證結果所獲得的重要結論如下：首先，臺灣期貨市場的發展仍未趨成熟，並不具有價格發現的功能，在考慮風險溢酬方面，僅有臺灣50指數期貨與現貨的投資人會在報酬率之外，額外要求用以補償的風險溢酬，再者，臺灣50指數期貨與基金的上市，並沒有對臺灣現有的期貨與現貨市場造成顯著的影響，然而，替代變數並不能完全取代現貨指數，但相較之下，國泰金在臺灣50指數期貨與基金上市之後的那段期間模擬成效最好。 / This paper investigates the change of lead-lag relationship in returns and volatilities in Taiwan futures and spot markets after the introduction of Taiwan 50 Futures and Taiwan Top50 Tracker Fund (TTT) on June 30, 2003. The study divides into two parts. The first part examines the relationship between Taiwan 50 Futures and spot markets, and also discusses the change of Taiwan Stock Exchange Capitalization Weighted Stock Index, Taiwan Stock Exchange Banking and Insurance Sector Index, and Taiwan Stock Exchange Electronic Sector Index in futures and spot markets. Another part uses the stock price of TTT, Cathay Financial Holding Company and Taiwan Semiconductor Manufacturing Company as the substitutive variables of spot index and goes a step further to examine the relationships between them and futures individually. Additionally, this research used One-Pass Method for first time to estimate jointly the conditional mean equation and conditional variance equation of Bivariate GARCH Model to avoid estimating error in previous relative studies with Two-Pass Method. The major empirical results are as follows: first, the development of Taiwan futures market is incomplete. The futures market does not play the price discovery role to the spot market. Second, under the consideration of risk premium, only investors in Taiwan 50 Futures and spot markets would ask for compensated risk premium excepting returns. Third, the opening of Taiwan 50 Futures and TTT does not influence significantly Taiwan futures and spot markets. Last but not least, these substitutive variables can not replace spot index perfectly. However, comparing with others, the stock price of Cathay Financial Holding Company is the very model of Taiwan Stock Exchange Banking and Insurance Sector Index after the introduction of Taiwan 50 Futures and TTT.