臺灣博碩士論文加值系統

本研究運用t檢定、GARCH與TGARCH模型探討一週到期型台指選擇權契約上市後，對台灣加權股價指數、金融與電子類股指數的收盤價、成交量、成交值、週轉率、波動率是否對報酬率造成影響及其變化情形。研究結果發現：週選擇權上市後，造成現貨市場報酬率波動增加，但是其波動呈現不一致性。此外，週選擇權的結算日並未使現貨市場報酬波動加劇。

This study is to evaluate whether the weekly option go public will influence the TAIEX,Finance,Electronics sector Sub-Index by applying the T-test,GARCH Model and TGARCH Model to compare the effect of closing price,the trading volume,the trading value,turnover rate,volatility,and the returns when the introduction of option.The major empirical results are as following.The fluctuating of the returns market increased after the introduction of weekly option.But, the volatility for the return of stock market present the inconsistency.Besides,the settlement date of weekly option didn’t intensify the return of stock market.

目 錄
摘 要 I
Abstract II
誌謝 III
目 錄 IV
表目錄 V
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 2
第三節 論文架構 3
第貳章 文獻探討 4
第一節 期貨商品上市對現貨市場波動之影響 4
第二節 選擇權價格波動對現貨市場股價之影響 9
第三節 期貨與選擇權商品上市對現貨市場波動之影響 11
第&;#21441;章 研究方法 13
第一節 資料來源 13
第二節 兩獨立樣本t-檢定分析 14
第三節 異質條件變異數模型 14
第四節 TGARCH模型 17
第肆章 實證結果與分析 19
第一節 資料分析 19
第二節 敘述性統計 19
第三節 T檢定 20
第四節 GARCH模型多元迴歸分析 21
第五節 TGARCH模型多元迴歸分析 23
第伍章 結論與建議 25
第一節 結論. 25
第二節 建議 27
參考文獻 28

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(9)田佳弘，2000，台灣股價指數期貨交易對股票價格波動之影響~以TAIFEX 和SIMEX 兩市場分析，中原大學企業管理學系碩士論文。
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(11)莊忠柱，2000，股價指數期貨上市與現貨價格波動性的結構性改變 – 以台灣為例，台灣銀行季刊，第五十一卷第四期，pp. 176~188。
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(13)王毓敏、陳正佑，2001，台股認購權證與標的股票交易量及資訊不對稱對於波動性的影響，風險管理學報，第3卷，第1期，第49-69頁。
(14)郭樂勤，2004，台指選擇權上市對台指期貨與現貨市場條件波動結構影響之研究，國立高雄第一科技大學金融營運所碩士論文
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