臺灣博碩士論文加值系統

本研究以TAIMEX台股指數期貨與現貨及SIMEX摩根台股指數期貨與現貨從民國87年7月21日至87年12月31日的日資料，及從民國87年9月9日至87年12月31日的日內五分鐘資料，和民國87年2月2日到87年10月28日的摩根台股指數期貨上、下午盤日資料進行期貨與現貨、期貨與期貨之間的關聯性分析，本研究實證結果發現：
(一)期貨與現貨報酬率的領先落後關係方面
(1) TAIMEX台股指數期貨日報酬與現貨日報酬率之間只存在同期相互影響的關係，並沒有領先或落後的關係存在。SIMEX摩根台股指數期貨與現貨日報酬則存在相互領先一天的現象。SIMEX摩根台股指數期貨對TAIMEX台股指數期貨日報酬日報酬的領先關係比TAIMEX對SIMEX的領先關係要來得明顯。
(2) TAIMEX台股指數期貨日內報酬領先現貨5分鐘，現貨亦領先期貨5分鐘。SIMEX摩根台股指數期貨日內報酬領先現貨10分鐘，現貨則未領先期貨。SIMEX摩根台股指數期貨與TAIMEX台股指數期貨在相互領先5分鐘。
(二)期貨與現貨異質性變異數分析
(1) 不論是TAIMEX或SIMEX的期貨與現貨日報酬的雙變量條件異質性變異數分析，並不存在資訊傳遞的效果。
(2) 在日內報酬的雙變量條件異質性變異數分析中，TAIMEX台股指數期貨報酬波動率領先現貨報酬波動率，而TIMEX與SIMEX兩期貨市場報酬率波動性則會相互影響。僅SIMEX台股指數期貨與現貨報酬率不存在領先落後關係。
(3) 在四變量異質性變異數分析中，日報酬皆不存在報酬波動率領先或後落的關係，在日內報酬部份，除了隔夜效果虛擬變數外，與條件異質性變數有關的所有係數都變得不顯著，顯示同時考慮SIMEX及TAIMEX期貨及現貨市場報酬率之後，由於變數之間的互動關係更形複雜故無法證實雙變量日內報酬動率的互動關係。
(三)上午盤與下午盤的資訊傳遞效果
下午盤對上午盤的報酬波動率有顯著的影響而上午盤對下午盤的影響則不顯著，顯示下午盤的資訊會遞延到隔天上午盤反應，此效果可能是由於資訊較靈通的交易人會利用下午盤的交易提前反應其所擁有的私有資訊所造成的結果。

目錄..................................................Ⅰ
表目錄................................................Ⅲ
圖目錄................................................Ⅴ
第一章 緒論............................................1
第一節 研究動機........................................3
第二節 台股指數期貨市場間的定義........................8
第三節 研究目的.......................................10
第四節 資料來源及樣本期間.............................14
第二章 文獻探討.......................................19
第一節 期貨市場與現貨市場的領先落後關係...............19
2.1.1 非同步交易與買賣價差............................20
2.1.2 交易成本的考量..................................22
2.1.3 交易制度的不同..................................23
2.1.4 流動性的因素....................................24
第二節 期貨在不同市場間的交互作用-不同交易時間........26
2.2.1 同一交易所不同時段之相關研究....................27
2.2.2 不同交易所不同時段之相關研究....................27
第三節 期貨在不同市場間的交互作用-不同交易所..........29
第四節 股價指數期貨與現貨市場的時間序列分析...........31
2.4.1 報酬率恆定與非恆定分析..........................31
2.4.2 報酬率序列相關及橫斷面相關分析..................31
2.4.3 報酬率條件異質性變異數分析......................33
第五節 Granger’s因果關係之檢定......................37
第三章 研究方法與設計.................................41
第一節 時間序列特性分析...............................41
第二節 報酬率關聯性分析...............................43
3.2.1 最適ARMA模型....................................43
3.2.2 單變量GARCH(p,q)模型的設定......................43
3.2.3 Sim’s Granger’s因果關係檢定..................44
第三節 條件異質性變異數的關聯性研究...................46
3.3.1 雙變量GARCH(1,1)模型設定........................46
3.2.2 摩根台股指數期貨上午盤價與下午盤的資訊傳遞效果..48
第四章 實證結果與分析.................................51
第一節 個別市場報酬率時間序列特性之檢定...............51
4.1.1 恆定性檢定......................................51
4.1.2 自我相關性檢定..................................54
4.1.3 異質性檢定......................................57
4.1.4 橫斷面相關性檢定................................59
第二節 報酬率關聯性分析...............................61
4.2.1 最適ARMA模型設定................................61
4.2.2 單變量GARCH(p,q)模型的設定......................62
4.2.3 Sim’s的Granger’s因果關係檢定.................67
第三節 不同市場報酬變動率關聯性分析...................73
4.3.1 兩市場間日報酬波動性關聯性分析..................73
4.3.2 兩市場間日內報酬變動率關聯性分析................74
4.4.3 四市場間日報酬及日內報酬變動率關聯性分析........76
第五節 摩根台股指數期貨上午盤與下午盤的資訊傳遞效果..79
4.5.1 上午盤與下午盤的基本統計量......................79
4.5.2 上午盤與下午盤的資訊傳遞分析....................81
第五章 結論與建議.....................................83
第一節 實證分析結論...................................85
第二節 後續研究及對投資者的建議.......................87
參考文獻..............................................87
國內部份..............................................87
國外部分..............................................88

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