臺灣博碩士論文加值系統

由於股價指數期貨與現貨之間，在理論上存在一線性關係，再加上在金融市場上，股價指數期貨為一非常重要的金融商品，因其提供投資者一個避險、投機與套利的空間，所以近來有許多國內外的相關研究針對股價指數期貨與現貨之間的價格關係進行探討，但或許是因為各個市場特性的不同與研究方法的不同，往往得出不大相同的結論。因此本研究採用門檻向量誤差修正模型，對台灣市場上的三種股價指數期貨，即加權股價指數期貨、電子類股價指數期貨以及金融保險類股價指數期貨與其現貨之間的價格關聯性進行探討。希望藉由門檻向量誤差修正模型的採用，來探討股價指數期貨與股價指數之間是否存在非線性之價格關聯性，也就是在不同的情況之下，股價指數期貨與股價指數之間是否會存在不同的價格關聯性。我們發現，非線性的門檻向量誤差修正模型較能顯示出期貨與現貨間長期均衡及短期動態關係。除此之外，在不同的區間裡，期貨與現貨在長期均衡與短期動態調整有不同的關係。

There are many relative studies discuss the correlation between index and
Index futures recently, not only because there is a linear relation between index and index futures theoretically but also index futures has been regarded as an important financial instrument since it provides investors a space for investing, speculating, and arbitrage. The reasons that cause the different results from those studies might be different market characteristics and different econometric methods. This paper applies the Threshold VECM model to discuss the price correlation between index and index futures. Our sample includes TAIEX, TAIEX futures, TSE Electronic Sector Index, TSE Electronic Sector Index Futures, TSE Banking and Insurance Sector Index, and TSE Banking and Insurance Sector Index Futures. We want to check whether if there is a non-linear correlation index and index futures, that is, if there are different price correlations between index and index futures under different circumstances. We find that the Threshold VECM model is more likely to unveil the non-linear price correlation between index and index futures；and further, there are different long-term equilibrium relations and short-term adjustments under different regimes.

第一章 緒論 2
第一節 研究背景與動機 2
第二節 研究問題與目的 5
第二章 相關文獻 6
（一）指數期貨與現貨之相關文獻 6
（二）共整合（cointegration）相關文獻 9
第三章 研究方法 10
第一節 AUGMENTED DICKEY-FULLER（ADF）檢定法 10
第二節 向量自我迴歸模型 13
第三節 ENGLE-GRANGER二階段共整合檢定 14
（一） 第一階段 15
（二） 第二階段 16
第四節 向量誤差修正模型（VECM） 16
第五節 門檻向量誤差修正模型（THRESHOLD VECM） 17
第六節 門檻檢定（TESTING FOR A THRESHOLD） 18
第四章 實證結果分析 21
第一節 樣本資料選取 21
第二節 原始序列及其敘述統計量 22
第三節 序列穩定性之檢定（ADF單根檢定） 29
第四節 ENGLE-GRANGER共整合檢定 35
第五節 門檻共整合檢定（TEST FOR THRESHOLD COINTEGRATION） 41
第六節 門檻向量誤差修正模型（THRESHOLD VECM） 43
第五章 結論與後續研究建議 62
第一節 結論 62
第二節 研究限制與後續研究建議 65
參考文獻 66

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