臺灣博碩士論文加值系統

本研究主要目的在探討台股指數現貨、期貨與選擇權三市場間動態關聯，以多變量GJR GARCH-M不對稱門檻相關係數模型將三市場同時納入考量，除分析市場報酬與波動傳導效果外，並同時檢驗風險貼水、價量關係、波動不對稱效果存在與否；此外，更納入正負基差變動對三市場報酬、波動及相關性之影響，希冀能完整描述台灣股市及其衍生性商品市場之資訊傳遞之動態過程。再者，探討選擇權市場與其他相關市場關聯性時，除了選擇權交易價格外，亦以買賣權隱含波動率差與買賣權隱含波動率平均值為研究對象，透過隱含波動率提供三市場交互動態關聯不同面象之觀察。實證結果顯示：(1)台指現貨、期貨與選擇權三市場報酬及波動存在顯著相互傳導效果。(2)就跨市場報酬及波動傳導影響程度上，以期貨對其他市場最具影響力。(3)透過買賣權隱含波動率差(平均值)與現貨、期貨市場報酬傳導發現，選擇權市場的動能交易者會對來自現貨或期貨市場消息作出正向回饋(positive feedback)交易行為。而當市場訊息由選擇權市場傳遞至現貨市場時，現貨市場投資者卻會出現動能反轉(momentum reversal)之交易現象。(4)正負基差僅對現貨報酬有顯著影響力，說明現貨與期貨線性趨勢偏離過程擴大之際，主要是由現貨市場扮演追隨調整的功能；此外，本文證實基差變化亦對於三市場波動提供一定程度影響。(5)而固定常數相關係數方面以期貨與選擇權間之同期相關係數最高，且當現貨與期貨間基差絕對值增大時，期貨與選擇權市場相關性更明顯提升。

This paper develops a multivariate GJR GARCH-M with Threshold Conditional Correlation Model to analyze the return and volatility transmissions among stock, futures and options markets in Taiwan, as well as to investigate the risk premium, return-volume relationship and own and cross market asymmetric volatility transmission process. In addition, one of our innovations is to discover the asymmetric effect of positive and negative basis on return, volatility, and correlation. Further, this paper also employs implied volatility information of options market to explore the dynamic relationships among markets. The empirical findings are summarized as follows: (1).There exists significant return and volatility spillovers effect among three markets. (2) Our results show futures market plays the discovery role on return and volatility transmissions relative to the other two markets (3).Our research finds the evidence of positive feedback trading from spot or futures to options market; whereas, the possibility of momentum reversal phenomenon existing from options to spot or futures markets. (4).Spot market play significant role to make adjustments back to equilibrium between spot and futures markets. Besides, we demonstrate the degree of basis has significant impact on returns, volatility and correlation. (5).Our evidence indicates that the correlation between futures and options market is higher than that of the others. Of interesting, the larger the bias, the higher correlation between futures and options markets.

中文摘要-----------------------------------------------------------i
英文摘要-----------------------------------------------------------ii
圖表目錄-----------------------------------------------------------iv
第一章 緒論-------------------------------------------------------1
第一節 研究動機-----------------------------------------------1
第二節 研究目的----------------------------------------------11
第三節 研究限制----------------------------------------------11
第四節 研究架構----------------------------------------------12
第二章 理論基礎與文獻回顧----------------------------------------13
第一節 相關理論----------------------------------------------13
第二節 三市場間連動關係相關文獻------------------------------20
第三章 模型介紹與檢定方法----------------------------------------37
第一節 理論模型介紹------------------------------------------37
第二節 檢定方法----------------------------------------------51
第三節 研究模型設定------------------------------------------55
第四章 實證結果分析----------------------------------------------65
第一節 資料處理與基本統計特性--------------------------------65
第二節 檢定結果分析------------------------------------------74
第三節 實證結果分析------------------------------------------79
第五章 結論與建議-----------------------------------------------113
第一節 結論-------------------------------------------------113
第二節 建議-------------------------------------------------116
參考文獻----------------------------------------------------------117
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