臺灣博碩士論文加值系統

本文在研究1998/7/21剛上市的台指期貨（TAIFEX）與現貨的Granger因果關係，資料來源出自於臺灣期貨交易所1998/10/13~1999/4/13的每5分鐘報價。其中亦分成整體及兩個子期的來作檢定。檢定結果為下表：
SPOT & TAIFEX呈何種關係領先落後間隔
整體短期SPOT領先TAIFEX5~10分鐘
長期兩者具有回饋關係－
空頭走勢短期SPOT領先TAIFEX5~10分鐘
長期兩者為獨立－
多頭走勢短期TAIFEX領先SPOT15~30分鐘
長期兩者具有回饋關係－

The purpose of this thesis is to examine the Granger causality between TAIFEX which is on the road in 1998/7/21and SPOT price。The data is form TAIWAN INTERNATIONAL MERCANTILE EXCHANGE CORP. and the period is 1998/10/13~1999/4/13。We can divide the data to three ways：total、bear and bull。The results are tabulated as follows：
The relationship of SPOT & TAIFEXPeriod of lead-lag
TotalShort TermSPOT leads TAIFEX5~10 mins
Long TermFeedback －
BearShort TermSPOT leads TAIFEX5~10 mins
Long TermIndependence－
BullShort TermTAIFEX leads SPOT15~30 mins
Long TermFeedback－

第一章 緒論1
第一節 前言1
第二節 研究動機1
第二章 文獻探討4
第一節 Granger causality（共整合、ECM或VAR）4
第二節 GARCH模型11
第三節 Garbade and Silber模型12
第四節 分類表及小結13
第三章 研究方法15
第一節 單根檢定15
第二節 共整合檢定18
第三節 向量誤差修正模型23
第四節 Granger因果關係檢定25
第四章 實證研究29
第一節 資料來源及處理30
第二節 單根檢定32
第三節 共整合檢定36
第四節 向量誤差修正模型41
第五節 Granger因果關係檢定44
第五章 結論與建議51
第一節 總結51
第二節 討論事項52
第三節 後續研究及投資建議53
附表 55
參考文獻 58

1. 李文興（1997）　期貨與選擇權　p.6~p.7
2. 吳易欣（1998）“股價指數期貨與現貨之關聯性研究”國立政治大學 金融研究所碩士論文　p.8~p.20
3. 林國平（1997）“股價指數期貨價格發現功能之研究”國立臺灣工業技術學院管理學研究所碩士論文　p.35~p.38
4. 姒元忠、林堯琦（1997）　攻戰台股指數期貨　p.29~p.34
5. 郭煒翎（1998）“摩根台灣股價指數期貨與現貨間之領先與落後關係”國立中正大學企業管理研究所碩士論文　p.10~p.20
6. 廖崇豪（1994）“期貨與現貨價格之關聯性分析與預測－以芝加哥玉米及股價指數期貨市場為例”國立中興大學經濟學研究所碩士論文　p.38~p.80
7. 賴瑞芬（1997）“台股指數期貨與現貨日內價格關係之研究”國立臺灣大學財務金融學研究所碩士論文　p.46~p.57
8. 顧嘉展、鄧詩行（1997）　台股指數期貨深度解析　p.23~p.35、p.67~p.68
9. Abhyankar, A. H.（1995）“Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets”Journal of Futures Markets　Vol.15　No.4　p.457~p.488
10. Bollerslev, T.（1990）“Generalized Autoregressive Conditional Heteroskedasticity”Journal of Econometrics　Vol.31　No.3　p.307~p.327
11. Box, G. and Jenkins, J. L.（1970）“Time Series Analysis：Forecasting and Control”San Francisco：Holden Day
12. Chan, K., Chan, K. C. and Karolyi, A.（1991）“Intraday Volatility in the Stock Index and Stock Index Futures Markets”Review of financial Studies　Vol.4　No.4　p.657~p.684
13. Dickey, D. A. and Fuller, W. A.（1979）“Distribution of the Estimates for Autoregressive Time Series with Unit Root”Journal of the American Statistical Association　Vol.74　No.366　p.427~p.431
14. Dickey, D. A. and Fuller, W. A.（1981）“Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root”Econometrica　Vol.49　No.4　p.1057~p.1072
15. Engle, R. F.（1982）“Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation”Econometrica　Vol.50　No.4　p.987~p.1007
16. Engle, R. F. and Granger, C. W. J.（1987）“Cointegration and Error Corretion：Representation, Estimation and Testing”Econometrica　Vol.55　p.251~p.276
17. Garbade, Kenneth D. and Silber, William L.（1983）“Price Movements and Price Discovery in Futures and Cash Markets”Review of Economics and Statistics　Vol.65　p.289~p.297
18. Ghosh, Asim（1995）“Cointegration and Error Correction Models：Intertemporal Causality between Index and Futures Prices”The Journal of Futures Markets　Vol.13　No.2　p.193~p.198
19. Granger, C. W. J.（1969）“Investigating Causal Relations by Econometric Models and Cross-Spectral Methods” Econometrica Vol.37　p.24~p.36
20. Granger, C. W. J. and Newbold, P.（1974）“Spurious Regressions in Econometrics”Journal of Econometrics　Vol.2　No.1　p.111~p.120
21. Granger, C. W. J.（1980）“Testing for Causality—A Personal Viewpoint”Journal of Economic Dynamics and Control　Vol.2　p.329~p.352
22. Granger, C. W. J.（1988）“Some Recent Development in a Concept of Causality”Journal of Econometrics　Vol.39　p.199~p.211
23. Iihara, Yoshio, Kato, Kiyoshi and Toshifumi, Tokunaga（1996）“Intraday Return Dynamics between the Cash and the Futures Markets in Japan”The Journal of Futures Markets　Vol.16　No.2　p.147~p.162
24. Johansen, Soren（1988）“Statistics Analysis of Cointegration Vectors”Journal of Dynamics and Control　Vol.12　p.231~p.254
25. Johansen, Soren（1991）“Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”Econometrica　p.1551~p.1580
26. Johansen, Soren and Juselius, Katarina（1990）“Maximum Likelihood Estimation and Inference on Cointegration：with Application to the Demand for Money”Oxford Bulletin of Economics and Statistics　p.169~p.210
27. Kawaller, Ira G., Koch, Paul D. and Koch, Timothy W.（1987）“The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index”The Journal of Finance　Vol.42　No.5　p.1309~p.1329
28. Ljung, G. and George, Box（1978）“On a Measure of Lack of Fit in Time Series Models”Biometrica　p.267~p.276
29. Mackinnon, James G.（1991）“Critical Values for Cointegration Tests”Forthcoming in Modelling Long Run Economic Relationships　Oxford University Press　p.267~p.276
30. Osterwald-Lenum, M.（1992）“A Note with Fractiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics：Four Cases”Oxford Bulletin of Economics and Statistics　p.461~p.472
31. Quan, Jing（1992）“Two-Step Testing Procedure for Price Discovery Role of Futures Prices”The Journal of Futures Markets　Vol.12　No.2　p.139~p.149
32. Schwarz, Thomas V. and Laatsch, Francis E.（1991）“Dynamics Efficiency and Price Leadership in Stock Index Cash and Futures Markets”The Journal of Futures Markets　Vol.11　No.6　p.668~p.683
33. Shyy, Gang, Vijayraghavan, Vasumathi and Brian, Scott-Quinn（1996）“A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the USE of Bid/Ask Quotes：the Case of France”The Journal of Futures Markets　Vol.16　No.4　p.405~p.420
34. Stoll, H.R. and Whaley, R.E.（1990）“The Dynamics of Stock Index and Stock Index Futures Returns”Journal of Finance and Quantitative Analysis　Vol.25　No.4　p.440~p.468
35. Tse, Y. K.（1995）“Lead-Lag Relationship between SPOT Index and Futures Price of the Nikkei Stock Average”Journal of Forecasting　Vol.14　 p.553~p.563
36. Wahab, Mahmoud and Malek, Lashgari（1993）“Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets：A Cointegration Approach”The Journal of Futures Markets　Vol.13　No.7　p.711~p.742