臺灣博碩士論文加值系統

本論文採用15分鐘高頻日內資料，探討美國E-mini股價指數期貨與台股指數現貨及期貨關聯性。E-mini指數期貨為24小時電子化交易，且價格發現功能明顯優於美股其他種類指數期貨。因此，透過研究E-mini與台股日內報酬之關聯性，將可討論美股對台股盤中即時影響。研究方法先針對指數資料與報酬率資料作單根檢定，以確定數列資料在一階差分之後是否為定態。再依照共整合檢定結果決定使用VAR模型或VECM模型，並根據Granger因果關係檢定、預測誤差變異數分解及衝擊反應函數結果分析E-mini與台股期現貨之關聯性。實證結果如下：
一、指數原始資料為非定態序列，一階差分後之報酬率資料呈現定態
序列，表示時間序列資料為I(1)數列。
二、E-mini與台股期、現貨間存在一組共整合向量，顯示E-mini與
台股期、現貨間具有長期均衡關係。
三、因果關係檢定結果發現，台股現貨報酬率單向影響E-mini及台
股期貨報酬率；E-mini及台股期貨報酬率為雙向回饋關係。
四、台股現貨報酬率之預測誤差變異6%至8%可由E-mini解釋；台
股期貨報酬率預測誤差變異可由E-mini解釋部分約占8%至
10%。
五、由衝擊反應函數可知，E-mini報酬率的衝擊對台股現貨與期貨報
酬率會產生正向影響，影響時間約45分鐘。
綜合以上結果，E-mini的變動對台股期現貨短期為正向影響，且影響時間延續約45分鐘，對台股期現貨盤中走勢，具有即時影響。本文建議投資人進行投資決策時，除觀察歐、美股市前一交易日收盤狀況與日、韓、港等國股市即時走勢外，亦可參考E-mini的盤中變動情形做為判斷台股多空的指標。此外，當E-mini發生明顯正向變動時，投資人可利用此訊息在期貨市場作短線積極性操作；若E-mini發生明顯負向變動時，則建議暫時降低手中期貨多頭部位。

關鍵詞：E-mini指數期貨、高頻日內資料、VAR模型、VECM模型、
預測誤差變異、衝擊

This study applies Johansen Cointegration Test (JC), Vector Error Correction Model (VECM), Granger Causality Test (GC), Impulse Response Analysis (IRA) and Variance Decomposition (VD) to data on 15-minute returns in the U.S. E-mini index futures and the Taiwan stock index spot and futures markets for investigating the intraday dynamic linkage between Taiwan and the U.S. stock markets. Good price discovery functions and the 24-hour electronic trading system of the E-mini index futures market make it possible to examine the synchronous impacts between two non-synchronous trading markets, which can not be achieved in previous literature. The empirical findings are summarized as follows:
1.All indices are non-stationary and the corresponding returns are stationary, implying the data are I(1) time series.
2.One cointegration vector exists among the E-mini index futures and the Taiwan index spot and futures markets, indicating a long-term equilibrium relationship.
3.The returns on Taiwan stock index spot market leads the returns on the three E-mini and the Taiwan index futures markets. Besides, there is a feedback relationship between the returns on the E-mini and the Taiwan stock index futures markets.
4.The returns on E-mini can explain 6%-8% of the variance of forecasting errors of the returns on Taiwan index spot market and 8%-10% of that of the index futures market.
5.The returns on E-mini cause positive responses of the returns on the Taiwan spot and futures returns within 45 minutes (3 periods).
In summary, the E-mini, as well as the closing index of the European market, the U.S. stock index of the previous day and the immediate Asian market indices, provides insightful information for Taiwan intraday spot and futures prices. Investors may use the dynamic linkage between Taiwan and the U.S. E-mini to make intraday trading decisions.

Keywords: E-mini, Intraday, VECM, Granger causality, Variance decomposition, Impulse response

謝辭................................................................................................................i
摘要...............................................................................................................ii
Abstract........................................................................................................iv
目錄..............................................................................................................vi
表次............................................................................................................viii
圖次..............................................................................................................ix
第壹章 緒論...............................................................................................1
第一節 研究背景與動機...................................................................1
第二節 研究目的.............................................................................11
第三節 論文架構.............................................................................12
第貳章 文獻回顧.....................................................................................13
第一節 台美股市關聯性文獻.........................................................13
第二節 期貨與現貨領先落後關係文獻.........................................15
第三節 日內資料文獻.....................................................................17
第四節 E-mini相關文獻.................................................................19
第參章 研究方法.....................................................................................21
第一節 單根檢定.............................................................................21
第二節 向量自我迴歸模型.............................................................22
第三節 共整合檢定.........................................................................23
第四節 誤差修正模型.....................................................................25
第五節 Granger因果關係檢定.......................................................26
第六節 預測誤差變異數分解與衝擊反應函數.............................27
第肆章 實證結果分析.............................................................................28
第一節 實證資料說明.....................................................................28
第二節 基本統計性質.....................................................................29
第三節 單根檢定結果.....................................................................31
第四節 Johansen共整合檢定..........................................................32
第五節 誤差修正模型.....................................................................34
第伍章 結論與建議.................................................................................50
第一節 結論.....................................................................................50
第二節 建議與未來研究方向.........................................................51
參考文獻.....................................................................................................53

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