臺灣博碩士論文加值系統

股票與期貨市場是臺灣金融市場中的兩個主要市場，隨著金融自由化與國際化的世界潮流，現貨與期貨間的關係成為投資人熱門討論的話題。因此，本研究以1998年7月21日至2015年12月31日的臺灣發行量加權指數和臺灣指數期貨近月期為主要研究標的，利用Hamilton（1989）提出的制度轉換法（Regime-Switching Perspective）探討指數期貨價格跳動對現貨價格動態性的影響。經概似比檢定，相較於其他模型，由Hamilton and Susmel（1994）所提出的SWARCH模型最能捕捉到臺灣股票市場價格行為的特性。研究發現，期貨價格波動對現貨價格有正向影響，但期貨價格波動對現貨價格波動性並無顯著影響。此外，臺灣股票市場的價格波動性狀態持續性的機率相當高，其價格波動可能容易受全球經濟與政治因素影響。

Stock and futures markets are the two main markets in Taiwan’s financial market. With the world trend of financial liberalization and internationalization, the relations between the spot market and the future market have been becoming a hot topic of in-vestors. Therefore, the research subjects in this study are the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Taiwan Index Futures (TX1) from July 21, 1998 to December 31, 2015. The dynamic influence of price jumps of index futures on spot prices with the regime-switching model proposed by Hamilton (1989) is explored.
Being compared to other researched models, the SWARCH model proposed by Hamilton and Susmel (1994) can best capture the price behavior of Taiwan Stock Mar-ket on the likelihood ratio test. The resultant showed that futures price volatility has a positive impact on spot prices and futures price volatility has no significant impact on spot price volatility. Besides, the probability of price volatility persistence in Taiwan stock market is very high and price fluctuations may be susceptible to global economic and political factors.

目錄 I
表目錄 II
圖目錄 III
第一章　緒論 1
1.1 研究背景與動機 1
1.2 研究目的 7
1.3 研究流程 7
1.4 研究範圍與限制 8
第二章　研究方法 9
2.1 樣本與資料來源 9
2.2 實證模型 9
2.3 概似比檢定 12
第三章　指數期貨價格對現貨價格動態性影響的實證分析 14
3.1 基本敘述統計分析 14
3.2 實證結果分析 16
第四章　結論與建議 27
4.1 結論 27
4.2 建議 28
參考文獻 30
一、 中文文獻 30
二、 英文文獻 30


表目錄
表3-1　日報酬基本敘述統計量分析 16
表3-2　模型參數估計值彙總表 18
表3-3　研究模型的概似比檢定 19
表3-4　SWARCH模型參數估計值與檢定 20


圖目錄
圖1-1　臺灣期貨市場近五年交易量 3
圖1-2　研究流程 8
圖3-1　臺指現貨與期貨日價格時間走勢圖 14
圖3-2　臺指現貨與期貨日報酬時間走勢圖 15
圖3-3　SWARCH模型的配適報酬走勢圖和高低波動性期間圖 24
圖3-4　SWARCH配適報酬波動性 25
圖3-5　具有制度轉換的股價報酬走勢圖 26

一、 中文文獻
1.高櫻芬、呂廣仁與林建甫(2001)，「變異數結構改變的SWARCH模型估計：台灣股價報酬之實證研究」，台灣金融財務季刊，1：1，21-39頁。

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