臺灣博碩士論文加值系統

台灣期貨交易所於2001年4月9日推出新的金融商品~小型台指期貨，讓台灣的金融市場更趨多元化。股價指數期貨具有避險效果、價格發現與投機操作等功能。雖然小型台指期貨較晚於衍生性金融商品市場中推出，卻是極受歡迎的衍生性商品之一。
本研究使用台灣股價指數與台灣期貨指數之日資料，研究樣本期間自1999年7月21日至2001年11月30日，分析採用TGARCH模式與Bi-EGARCH模式，探討小型台指期貨上市，對現貨與期貨市場波動性與不對稱性波動的影響。在此探討的主題有三：一、加入一個虛擬變數於模式(TGARCH)中，檢視台灣股價指數現貨市場之波動性與不對稱性之反應，是否因小型台指期貨期貨之上市而改變。二、引進小型台指期貨交易，是否對市場結構產生變化。三、探討小型台指期貨交易，是否造成現貨與期貨市場不對稱性波動改變。
由實證結果得知以下結論：第一，引進小型台指期貨後，現貨市場與期貨市場之波動性皆增加。第二，市場結構並未因小型台指期貨加入產生顯著的改變。第三，根據TGARCH模式實證結果，台灣現貨市場引進小型台指期貨交易之不對稱性分析中，可知電子類股指數市場出現槓桿效果，而金融保險類股市場產生逆槓桿效果。Bi-EGARCH誤差修正模式實證結果顯示，台股指數與現貨市場之不對稱性檢定結果出現槓桿效果。

The Taiwan Futures Exchange launched the mini Taiwan stock index future (MTX) on April 9, 2001 that made Taiwan’s financial market to diversify. Stock index futures has the functions of hedging effect, price discovery and speculations. Although MTX, one kind of derivative contracts, was developed late in the derivatives market, it is also the most popular one.
This research used the daily closing prices of the Taiwan stock index and Taiwan futures index. The sample extends from July 21,1999 to November 30,2001. The analysis models are based on Threshold GARCH Model (TGARCH) and Bivariate Exponential GARCH Model (Bi-EGARCH) to explore the effects of MTX trading on spot market and future market volatility and the asymmetric responses of volatility.
The major stages of the study are 1.Threshold GARCH analyzes the questions of whether MTX trading ha increased or decreased the level of volatility or the asymmetric responses of volatility in spot market with a dummy variable.2.research analyzes the question of whether MTX trading has changed or unchanged the market structures.3.to determine whether the MTX trading has led to changes in the asymmetric response of volatility is analyzed by Bi-EGARCH with a dummy variable. Stock and Futures data are used in estimating asymmetric models to assess the extent to which the asymmetric responses of volatility in the spot market and futures market are different from the other market. From the empirical results, the major findings of the paper are 1.from empirical results, spot market and futures market added rises to volatility. 2.no significant differences are found to introduce MTX in the market structure. 3. from TGARCH model estimation, the introduction of MTX really made leverage in electrical index, but made adverse-leverage in financial index; from Bi-EGARCH model estimation, there is the leverage in TAIEX index.

摘要 Ⅰ
目次 Ⅲ
表次 Ⅴ
圖次 Ⅶ
第一章 緒論 1
1.1 研究背景 1
1.2 研究動機 2
1.3 研究目的 3
1.4 研究架構 3
1.5 期貨概述 4
第二章 文獻回顧 11
2.1 指數期貨上市與現貨市場波動性之關係 11
2.2 股價指數現貨與期貨之關係 24
2.3 小結 34
第三章 研究方法 35
3.1 觀念性架構 35
3.2 波動性分析 36
3.3 序列穩定性檢定 36
3.4 異質條件變異數模式 38
3.5 小結 44
第四章 實證分析 45
4.1 資料選取處理與期間 45
4.2 敘述統計 46
4.3 單根檢定與序列相關檢定 49
4.4 共整合關係檢定 54
4.5 TGARCH模式 57
4.6 BI-EGARCH誤差修正模式 66
4.7 小結 80
第五章 結論與建議 82
5.1 研究發現 82
5.2 策略涵義 83
5.3 研究貢獻 84
5.4 研究限制 85
5.5 後續研究建議 86
參考文獻 87
附錄A 現貨與期貨走勢圖 A

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