臺灣博碩士論文加值系統

本研究旨在探討台灣50指數ETF上市，對於台股指數期貨價格效率性之影響。
分別運用F檢定與ARMA-GARCH模型，比較台灣50指數ETF上市前後，台股指數
期貨價格誤差波動性是否發生改變，進而影響到期貨價格的效率性。研究期間是
從 1998 年 7 月 21 日至 2005 年 1 月 13 日止，樣本點共計862 個交易日。
基於我國台灣50指數ETF於 2003 年 6 月 30 日上市，故以此時點為基準日，區
分上市前後的波動情形。
本研究的結果摘要如下：
(1) F檢定結果，顯示上市後變異數的確有明顯的變小，也就是說上市後台股指數
期貨價格誤差有明顯的變小。
(2) 利用ARMA-GARCH模型估計結果，顯示台灣50指數ETF上市後，台股指數期
貨價格誤差的波動變小、未預期衝擊的敏感度變小與條件波動的持續性增加。
因此，台灣50指數ETF上市，似乎對台股指數期貨價格效率性，產生了正面的
效果。

The purpose of this paper is to investigate the effect of the IPO of Taiwan Top50 Tracker Fund on price efficiency of TAIFEX. By using F-test and ARMA-GARCH
model, we compared the difference size and volatility of the TAIFEX misprice. This tells the efficiency change of the TAIFEX price after the IPO of Taiwan Top50 Tracker Fund.
According to the empirical results of these two methods, we found:
1. The misprice size of the TAIFAX decreases obviously after the IPO of Taiwan
Top50 Tracker Fund.
2. Both the misprice volatility and the sensitive of the misprice to unexpected
impulse decrease and the misprice persistency increases. It seems the price
efficiency of TAIFAX increases after the IPO of Taiwan Top 50 Tracker Fund.

摘 要 i
ABSTRACT ii
誌 謝 iii
目 錄 iv
表 目 錄 v
圖 目 錄 vi
第一章 緒 論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 4
第四節 論文架構 5
第二章 文獻探討 7
第一節 台灣50指數ETF簡介 7
第二節 指數期貨的理論價格 12
第三節 ETF上市對指數期貨價格效率之影響 14
第三章 研究方法 18第一節 資料整理與分析 18
第二節 以F檢定檢驗誤差變化. 21
第三節 ARMA模型 22
第四節 GARCH模型 24
第五節 研究流程 27
第四章 實證研究與結果分析 28
第一節 基本統計量分析與F檢定 28
第二節 最適ARMA模型 31
第三節 ARMA(3,1)-GARCH(1,1)模型估計的結果與分析 32
第五章 結論與建議 35
第一節 結論 35
第二節 建議 36
參考文獻 37

一、中文文獻

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2.張美媛，2003，指數股票式基金之上市與指數期貨市場的定價效率-以S&P500 指數商品為例，淡江大學財務金融所碩士論文。

3.陳佑倫，2004，台灣50指數ETF上市對台股指數期貨定價效率之影響，朝陽科技大學財務金融系碩士論文。

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