臺灣博碩士論文加值系統

本研究探討在整理、空頭和多頭行情下台股加權股價指數、台股指數期貨及台股指數選擇權間的市場整合程度，分析個別市場價格發現的能力，並描述市場間資訊傳遞的行為。本文沿用謝文良(2007)的研究，以PCP關係式(Put-Call Parity)取代傳統文獻以B-S模型(或二項式模型)，應用在將選擇權價格反推隱含現貨價格的過程。在實證研究上，本文發現台股指數商品市場具有穩定的長期均衡關係，本文發現台股指數商品市場具有穩定的長期均衡關係，且商品價格的變化主要來自短期個別市場交互傳遞落後期價格差異的資訊。整理和空頭行情的台股指數期貨在價格發現上表現較具效率性，其次為台股現貨，而台股指數選擇權表現最差；多頭行情則是台股現貨表現最不具效率性。
在市場連動關係方面，空頭和多頭行情的台股指數期貨與台股指數選擇權存在雙向的資訊回饋，對指數現貨在整理、空頭及多頭行情則僅有單向的資訊傳遞；整理和空頭行情的台股現貨對台股指數選擇權是單向的資訊傳遞；多頭行情的衍生性商品對台股現貨也是單向的資訊傳遞。另外，變異數拆解發現三市場在整理、空頭及多頭行情的平均解釋能力是相近的，但台股指數期貨優於台股指數選擇權與台股現貨，而台股現貨最差。衝擊反應則顯示三市場對資訊的衝擊，幾乎在約15分鐘內反應完畢，並收斂至正常水準。

This study investigates the integration condition, information transmission and price discovery between spot, futures and options of Taiwan index in deer, bear and bull markets, adapting a put-call parity (PCP) approach to recover the spot index embedded in the options premiums. The empirical evidence suggests that there exists stable balance in long-term period among three markets and the price change comes from the lag terms of each market in short-term period. In deer and bear markets the sequence of price discovery efficience is futures, spot and then options. But in bull market spot is the poorest efficience.
For the dynamic relationships among markets, futures and options in bear and bull markets have information feedback each other. In deer, bear and bull markets only transmits information from futures to spot. Also in deer and bear markets spot transmits information to options by single direction. In addition, variance disassembly finds the explaination percentage of futures, spot and options is similar. Innovation response shows three index commodities can reflect information impact within 15 minutes and back to normal level.

中文摘要 i
英文摘要 ii
目錄 iii
圖表目錄 iv
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第二章 文獻回顧 4
第一節 價格發現與資訊傳遞 4
第二節 市場結構性比較 4
第三節 市場連動相關文獻 5
第三章 研究方法與模型設定 12
第一節 資料選取 12
第二節 單根檢定 13
第三節 共整合檢定與向量誤差修正模型 14
　第四節　Granger因果關係、變異數拆解與衝擊反應 15
第四章　實證結果分析 18
　第一節　基本統計分析與單根檢定 18
　第二節　共整合檢定 19
　第三節　價格互動關係 21
　第四節 市場連動關係 23
第五章　結論與建議 27
　第一節　結論 27
　第二節 建議 28
參考文獻 29

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