臺灣博碩士論文加值系統

本文係針對寶來台灣卓越50基金及其相關金融商品於2006年1月2日至2009年1月21日期間內，探討多頭和空頭期間不同區間內，寶來台灣卓越50基金和其相關金融商品「領先—落後」關係及相互影響互動關係。本研究利用單根檢定、Chow-Test、共整合檢定、Granger因果檢定、VECM模型、衝擊反應函數和預測誤差變異數拆解等計量方法建立實證模型。實證結果得出以下重要結論如下：
依據Chow-Test得出結果，寶來台灣卓越50基金和其相關金融商具有結構性轉變在多空區間內。而共整合檢定，得出在多頭和空頭期間，寶來台灣卓越50基金、大盤加權指數、指數期貨和台灣50指數四者間存在一組共整合關係，顯示無論在多頭和空頭期間，金融商品和連結指數間具備長期均衡關係，符合單一價格之特性。而失衡時的調整顯示出衍生性商品市場較現貨市場具效率性質，符合過去研究所提出的各種臆說。
VECM模型和Granger因果關係檢定顯示多頭期間內，ETF不具領先關係；而空頭期間，則ETF具有領先關係，推論可能因權值股受政府特定基金護盤和偏重權值股投資等原因造成使一現象。
誤差變異數結果顯示出，多頭和空頭期間具有明顯差異性。多頭期間，指數期貨相較寶來台灣卓越50基金和台灣50指數，可解釋比率較大；而空頭時期，寶來台灣卓越50基金和台灣50指數，解釋能力高於指數期貨，空頭期間可利用ETF具權值股之特性密切和大盤作相關聯結，且金融商品波動較易受其他金融商品所影響，相互影響關係較為密切。

This paper investigates the interaction of ETF (Exchange Traded Funds) and related financial assets in the Bull and Bear markets. In this study, empirical data included Polaris Taiwan Top 50 Tracker Fund, Taiwan stock index, Taiwan stock index futures and Taiwan 50 index from January 2, 2006 to January 21, 2009. The model is derived from the quantitative method such as Unit Root Test, Chow Test, Cointegration Test, Granger causality Test, Vector Error Correction Model, Impulse function and Variance decomposition Model. Following conclusions can be drawn from this empirical result:
In the aspect of the long term equilibrium, there exists the long term equilibrium relationship between ETF and related financial assets. This result corresponds to the One of Price Theory. However, derived financial assets could be more efficient than the spot markets. Previous hypotheses could explain this result.
The results from Vector Error Correction Model and Granger causality Test show that:(1)ETF exists no significant lead relationship between other financial assets in the Bull market.(2)However, ETF leads other assets in the Bear markets. The features of Power value stock might explain the phenomenon.
In the Variance decomposition Model, Taiwan stock index futures has more powerful to explain Taiwan stock index than ETF in Bull market. However, ETF could explain the majority of Taiwan index.

誌謝 II
中文摘要 III
英文摘要 IV
目次 V
表目錄 VII
圖目錄 IX
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 5
1.3 本文架構 8
第二章 文獻回顧 9
2.1 理論探討 9
2.2 文獻回顧 12
2.2.1 期貨與現貨間的領先、落後及因果關係 12
2.2.2 共整合及長期均衡關係 13
2.2.3 其他相關研究 14
第三章 實證模型建立 15
3.1 資料檢定方法 15
3.1.1 單根檢定方法介紹 16
3.1.2 Chow結構轉變點檢定 17
3.2 共整合關係及檢定 18
3.3 誤差修正模型(VECM) 20
3.4 GRANGER因果關係檢定(GRANGER CAUSALITY TEST) 20
3.5 衝擊反應分析 21
3.6 預測誤差變異數分析 22
第四章 實證結果與分析 23
4.1 敘述檢定與單根檢定 23
4.1.1 資料選取及變數定義 23
4.1.2 基本統計性質 24
4.1.3 單根檢定 26
4.1.4 結構性轉變-Chow Test 30
4.2 共整合檢定 33
4.3 誤差修正模型(VECM) 35
4.4 GRANGER因果關係檢定 39
4.5 衝擊反應函數 42
4.6 預測誤差變異數分析 44
第五章 結論與建議 50
5.1 結論 50
5.2 後續研究建議 52
參考文獻 53

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