臺灣博碩士論文加值系統

本文以Gray(1996)的一般化狀態轉換(GRS)模型為基礎，利用1999年1月5日到2003年12月31日間臺灣股價指數與股價指數期貨契約的日資料，捕捉臺灣股價指數與股價指數期貨市場報酬與波動性的動態關係。根據Johansen共整合檢定，發現臺灣股價指數與期貨間存在長期穩定均衡關係。當狀態分為高低波動狀態時，允許條件平均報酬與條件變異數同時隨兩個狀態變動的一般化狀態轉換模型為一較佳的配適模型。在低波動狀態時，股價指數與期貨市場平均報酬為正的，股價指數與期貨市場波動性皆呈現顯著的GARCH效果；在高波動狀態時，股價指數與期貨市場平均報酬為負的，期貨市場波動行為呈現顯著GARCH過程，但股價指數市場波動性則不具有GARCH效果。此外，股價指數與期貨市場的低波動狀態平均存續時間較高波動狀態平均存續時間長。利用一般化狀態轉換模型所捕捉的報酬與波動性為基礎，進一步利用自我迴歸分配遞延(ADL)模型，分別探討股價指數與期貨市場平均報酬對平均報酬與波動性對波動性的動態關係。就短期而言，股價指數報酬對期貨報酬的領先關係較為強烈，而期貨波動性對股價指數波動性的領先關係呈現顯著，此外，股價指數與期貨報酬序列存在長期均衡關係，但股價指數與期貨波動性序列則不存在長期均衡關係。

In this paper, Gray’s(1996) generalized regime-switching(GRS) model and autoregressive distributed lag(ADL) model are used to capture the return and volatility dynamics between the Taiwan stock index and futures markets. Using GRS model to capture the conditional expectation and conditional variance series, we find that the model that allows both the conditional expectation and conditional variance to change with two regimes is an appropriate model. In the low-volatility regime, the return of stock index and futures both are positive and its volatility have GARCH effect. In the high-volatility regime, the return of stock index and futures both are negative, but only the futures has a GARCH process in volatility behavior. In addition, the expected duration of the low-volatility regime is longer than that of the high-volatility regime. Using ADL model to study the return and volatility dynamics between the Taiwan stock index and futures markets. The return of stock index leads temporarily to itself and futures. The volatility of futures leads temporarily to itself and stock index, but the stock index does not have cross-market volatility spillovers effect. There is a long-run equilibrium relationship between the return of stock index and futures, but there is no long-run equilibrium relationship between the volatility of stock index and futures.

目錄
頁次
目錄……………………………..…………………….…………...……Ⅰ
圖目錄…………………………………………………………………..Ⅲ
表目錄……………………………………………..………….………...Ⅳ
第壹章 緒論……………………………………..……………………..1
第一節 研究背景與動機…………………..……………………..1
第二節 研究目的………………………..………………………..6
第貳章 文獻探討……………………………..………………………..8
第一節 理論基礎………………………..………………………..8
第二節 股價指數期貨與現貨領先落後關係的相關文獻研究
……………………………………………..…………....18
第三節 Markov switching模型的應用……………………....…24
第參章 研究資料與方法…………………………..………………....27
第一節 樣本資料與資料來源……………………..…....………27
第二節 實證模式………………………………….…….………30
第肆章 實證結果分析………………………………………………..41
第一節 臺灣股價指數與期貨價格序列單根與共整合檢定
…………………………………………………………..41
第二節 臺灣股價指數與期貨報酬序列基本敘述統計量分析
…………………………………………………………..42
第三節 模型比較………………………………………………..44
第四節 一般化狀態轉換模型的臺灣股價指數與期貨市場動態關係……………………………………………………..53
第伍章 結論與建議…………………………………………………..61
第一節 結論……………………………………………………..61
第二節 未來研究建議…………………………………………..63
參考文獻………………………………………………………………..64
圖目錄
頁次
圖3-1 臺灣股價指數與期貨價格走勢圖……………………………28
表目錄
頁次
表1-1 歷年來臺灣期貨交易所上市的期貨狀況…………….…….…4
表4-1 臺灣股價指數與期貨價格單根與共整合檢定………………41
表4-2 臺灣股價指數與期貨報酬序列基本敘述統計量……………43
表4-3 臺灣股價指數與期貨報酬序列配適不同落後期模型的SBC值
…………………………………………………………………44
表4-4 臺灣股價指數與期貨模型係數估計與檢定：AR(p)-GARCH(1, 1)模型………………………………………………….…..45
表4-5 條件平均報酬隨狀態轉換模型的係數估計與檢定…………46
表4-6 條件變異數隨狀態轉換模型的係數估計與檢定……………49
表4-7 一般化狀態轉換模型的係數估計與檢定……………………51
表4-8 臺灣股價指數與期貨報酬縮減ADL模型檢定……………54
表4-9 臺灣股價指數與期貨報酬ADL模型係數估計與檢定……..55
表4-10 臺灣股價指數與期貨波動性縮減ADL模型檢定….………..58
表4-11 臺灣股價指數與期貨波動性ADL模型係數估計與檢定…...59

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