臺灣博碩士論文加值系統

本研究主要目的在於探討台灣50指數成分股調整之價量效果，及此效果與外資買賣超之關聯性，並比較台灣50指數期現貨之避險比率與績效。本文採OLS+TGARCH(1,1)模型對台灣50指數調整之新增股與剔除股之報酬率與交易量、建構PANEL模型對此宣告效果與外資買賣超以及採用三變量VEC-TGARCH(1,1)模型對台灣50指數期現貨與台指期進行實證分析。

實證結果發現：(1)新增股在宣告日後一日，存在正向的異常報酬，但不顯著；而剔除股在宣告日後一日，則存在負向且顯著的異常報酬，且新增股與剔除股皆支持價格壓力假說；(2)新增股與剔除股在宣告日後一日皆出現顯著且正向的異常交易量；(3) 台灣50指數成分股調整訊息宣告效果的異常報酬與外資買賣超有雙向因果關係；(4)臺指期規避台灣50指數現貨價格風險之績效較台灣50指數期貨相對較佳。

This study tries to investigate the stock price and trading volume effect of changes in the TSEC Taiwan 50 index by OLS+TGARCH(1,1) model, interrelationships for the effect and QFII by PANEL model, and hedge ratio as well as hedge performance of TSEC Taiwan 50 index cash and futures by VEC-TGARCH(1,1) model. The major empirical results are as follows：
1.Additions have a positive stock price effect and deletions have a significantly negative stock price effect after the announcement day. Additions and deletions validate the price pressure hypothesis.
2.Additions and deletions have a positive trading volume effect after the announcement day.
3.The stock price effect of changes in the TSEC Taiwan 50 index and QFII have the reciprocal causation.
4.The hedge performance of TAIEX futures is better than Taiwan 50 futures.

序言 ………………………………………………………………………………...I
國立臺北大學九十七學年度第二學期碩士學位論文提要 …………………….II
ABSTRACT……………………………………………………………………….III
目錄 ………………………………………………………………………………IV
表目錄 …………………………………………………………………………….V
圖目錄 …………………………………………………………………………VIII
第壹章 緒論
第一節 研究動機與背景……………………………………………………1
第二節 研究目的..…………………………………………………………..4
第三節 研究方法與步驟 ……………………..……………………………4
第四節 研究對象、範圍與資料來源…………………………………………5
第五節 論文架構…………………………………………………..………..11
第貳章 台灣50指數期現貨與外資投資國內證劵市場之概況
第一節 台灣50指數介紹與編制規則………………………………...….12
第二節 外資投資國內證劵概況……………………….…………..……….22
第三節 本章小結…………………………………………………………..25
第参章　理論基礎與文獻回顧
第一節　理論基礎…………………………………………………………..26
第二節　文獻回顧…………………………………………………………..46
第三節　本章小結…………………………………………………………..54
第肆章 實證模型估計與檢定之計量方法
第一節 單根檢定與最適落後期數之選取……….....……………………….56
第二節 序列相關與異質性檢定………………………………………..……65
第三節 共整合檢定、向量誤差修正模型與因果關係檢定 ………….……66
第四節 ARCH、GARCH與TGARCH模型估計與檢定方法 ….…………74
第五節 Panel Data之估計方法………………………………………..……..90
第伍章 實證結果與分析
第一節 台灣50指數成分股調整之實證結果與分析…………………….94
第二節 宣告效果與外資買賣超關聯性之實證結果與分析…………..…139
第三節 台灣50指數期現貨之避險比率與績效之實證結果與分析…..148
第四節 本章小結…………………………………………………….……181
第陸章 結論與建議
第一節 結論……………………………..…………………………..…..184
第二節 建議與未來研究方向………………………………………..……186
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