臺灣博碩士論文加值系統

本文第一部份是針對電子類股現貨、金融保險類股現貨、以及台股指數現貨在類股指數期貨上市之後，價格波動性、成交量、以及市場流動性的變化情形。第二部分則是探討電子類股指數期貨與現貨、金融保險類股期貨與現貨、台股指數期貨與電子類股期貨、以及台股指數期貨與金融保險類股指數期貨之間資訊傳遞的情形。共得出以下幾點結論：一、 在類股指數期貨交易之後，電子類股現貨是呈現波動性增加的趨勢，而訊息在期貨與現貨之間是有相互傳遞的現象。由此可知，類股指數期貨交易改善了資訊流入現貨市場的速度與品質，導致價格反映合理價位。現貨價格的波動性上升是表現出電子類股現貨反應新訊息的能力提升了。二、 金融保險現貨的波動性是有下降的趨勢，而訊息在期貨與現貨之間也是有相互傳遞的現象。因此，可能是類股指數期貨交易之後，並無法改善訊息流入現貨的速度與品質，金融保險類股現貨產生價格連續、資訊反應不足的現象，因而使得現貨價格波動性在類股指數期貨上市之後呈現下降的趨勢。投資人無法透過期貨的價格與期貨所表現出的訊息，來瞭解現貨真實的價格。三、對於期貨與期貨之間的資訊傳遞情形，實證結果得出電子類股指數期貨是比較顯著領先台股指數期貨，而台股指數期貨是領先金融保險類股指數期貨，這是相當合理的現象。因為對於現今台灣股市的情況來說，蔚為投資主流的電子類股總是投資人最先觀察與參考的依據

目 錄 頁次目 錄…………………………………………………………………… i表目錄……………………………………………………………………ii第一章 緒論…………………………………………………………… 1第一節 研究背景與動機………………………………………………1第二節 研究目的………………………………………………………4第三節 論文架構與研究流程…………………………………………6第二章 文獻回顧…………………………………………………………8第一節 理論基礎………………………………………………………8第二節 期貨與現貨之間的相互關係…………………………………10第三節 相關實證研究探討……………………………………………14第三章 研究方法與模型…………………………………………………19第一節 類股指數期貨對現貨及台股指數的影響……………………19第二節 類股指數期貨與現貨、台股指數期貨的互動關係…………23第三節 資料來源與處理………………………………………………27第四章 實證結果…………………………………………………………28第一節 類股指數期貨對現貨及台股指數的影響……………………28第二節 類股指數期貨與現貨、台股指數期貨的互動關係…………42第五章 結論………………………………………………………………52參考文獻………………………………………………………………54

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