臺灣博碩士論文加值系統

本研究藉由三元EC-GJR GARCH模型，探討臺灣50指數現貨、臺灣50指數期貨與臺灣50ETF三者間互動性之影響，研究期間自2003年6月30日至2007年2月14日止，共計908筆每日收盤日資料。實證結果顯示：(1)以ADF單根檢定之結果而言，顯示三市場之數列資料在經一階差分後呈現同階定態。(2)依據Johansen共整合檢定結果顯示，三市場具有長期均衡之共整合關係。(3)三市場之股價報酬具波動叢聚性之現象且呈現不對稱效果。(4)在EC-GJR GARCH模式中，本研究顯示臺灣50指數期貨市場在價格調整方面較具效率，即對臺灣50指數現貨與臺灣50ETF兩市場具有領先之價格發現功能。(5)在波動不對稱性方面，三市場皆存在顯著波動不對稱性，亦即三市場之報酬率對市場上之壞消息反應較好消息反應的波動較大。

This paper investigates the price discovery function in three Taiwan 50 Index markets: spot index, index futures, and ETF markets. We use daily closing index prices data during 2003/06/30~2007/2/14. The Unit Root test, Cointegration test, EC-GJR GARCH model are applied in this paper. The main empirical results are as follows. Firstly, the result of cointegration test has shown that there is a long-run equilibrium relationship among Taiwan 50 spot index, index futures and ETF. Secondly, the volatility clustering effects and asymmetric effects among these index markets also exist. Thirdly, the results also indicate that the Taiwan 50 index futures have better function in price discovery process.

中文摘要...................................................i
英文摘要..................................................ii
誌謝.....................................................iii
目錄......................................................iv
表目錄....................................................vi
表目錄...................................................vii
第一章 緒論...............................................1
1.1 研究背景與動機....................................2
1.2 研究目的..........................................4
1.3 研究限制..........................................5
1.4 研究流程..........................................6
1.5 論文結構..........................................6
第二章 文獻探討...........................................9
2.1 基礎理論..........................................9
2.1.1 財務槓桿.....................................9
2.1.2 交易成本....................................10
2.1.3 交易限制....................................11
2.1.4 市場資訊....................................12
2.1.5 其他市場因素................................13
2.2 相關文獻探討.....................................13
2.2.1 股價指數現貨與期貨間之互動性................14
2.2.2 指數期貨與ETF間之互動性.....................16
2.2.3 指數現貨、指數期貨與ETF間之互動性...........17
2.3 小結.............................................20
第三章 研究方法..........................................27
3.1 研究樣本.........................................27
3.2 實證流程.........................................27
3.2.1 單根檢定....................................29
3.2.2 共整合......................................31
3.2.3 EC-GJR GARCH模型............................35
3.2.4 模式診斷....................................39
第四章 實證結果與分析....................................41
4.1 樣本敘述統計.....................................41
4.2 單根檢定.........................................42
4.3 共整合檢定.......................................43
4.4 EC-GJR GARCH模型.................................44
4.4.1 參數估計...................................44
4.4.2 模式診斷...................................47
第五章 結論與建議........................................50
5.1 結論.............................................50
5.2 建議.............................................51
5.2.1 給投資人之建議.............................52
5.2.2 後續研究之建議.............................52
參考文獻..................................................53
附錄
A ETF金融商品概述...................................58
A.1 ETF的市場架構.................................58
A.2 ETF金融商品的種類.............................59
A.3 ETF金融商品的特色.............................60
B 臺灣50指數相關金融商品簡介........................65
B.1 臺灣50指數概述................................65
B.2 臺灣50指數期貨概述............................67
B.3 臺灣50ETF.....................................70
B.4 臺灣50指數期貨與臺灣50ETF成交量比較...........71

表目錄
表2.1 臺灣50指數金融商品系列文獻比較.....................21
表2.2 指數金融商品市場價格發現功能比較...................22
表2.3 價格發現相關理論整理...............................23
表4.1 樣本敘述統計.......................................42
表4.2 ADF單根檢定........................................43
表4.3 最適落後期選擇.....................................43
表4.4 Johansen共整合檢定.................................44
表4.5 EC-GJR GARCH模式估計結果...........................46
表4.6 EC-GJR GARCH模式診斷結果...........................48
表A.1 ETF基金與其他金融商品比較..........................64
表B.1 臺灣50指數公眾流通量與權重係數.....................66
表B.2 臺灣50指數期貨契約規格.............................69
表B.3 臺灣50ETF商品規格..................................70
表B.4 臺灣50指數期貨與臺灣50ETF成交量表..................71

圖目錄
圖1.1 研究流程圖..........................................6
圖3.1 實證流程圖.........................................28
圖A.1 ETF的市場架構......................................58
圖A.2 ETF價格與淨值關係..................................63
圖B.1 臺灣50指數成份股佔臺灣證券交易所產業別權重.........67
圖B.2 臺灣50ETF規模直方圖................................73

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參考網站：
1.臺灣證券交易所：http://www.tse.com.tw
2.臺灣期貨交易所：http://www.taifex.co