臺灣博碩士論文加值系統

本文採用S＆P500指數期貨的日內價格變幅資訊，並進一步將變幅區分為上漲變幅與下跌變幅，藉以探討期貨波動性的到期效應與交易量效應，並比較911事件前後之差異。實證結果指出，資料具有異質變異性，且相較於以收盤價資訊所衡量的波動性，日內價格變幅具有較豐富的資訊內涵；而且下跌變幅比上漲變幅更能顯著捕捉波動性的到期效應，尤其在911事件後更為顯著，這個結果顯示經歷重大事件後，投資者對於下方風險更為敏感。並且價格波動皆與成交量呈現顯著的正向關係，而到期效應的結果並不一致，成交量才是影響價格波動的主要原因。最後我們發現在911事件前，期貨交易量與價格波動性兩者互有因果關係；但在911事件後，僅期貨交易量會影響價格波動性，但波動性不影響交易量。這個結果顯示重大事件後期貨價格行為可能發生變化。

The study examines the maturity effect and volume effect of the price volatility of the futures. The daily price range of S&P 500 index futures are applied in this study. The daily price range is further divided into the up-range and the down-range, and the stylish effects differences between before and after the 911 are also discussed. The empirical results show that price range provides more information contents than the daily closing price; and the down-range data demonstrate more significant maturity effects, especially after the 911.

目錄
第壹章 前言 1
第貳章 研究方法 7
第一節 CARR模型 7
第二節 ACARR模型 10
第三節 EGARCH模型 13
第四節 配適最適的模型（LR檢定） 14
第五節 Chang ,Chou 和 Nelling（2000）與價格波動之模型 15
第參章 樣本資料分析 16
第一節 研究範圍 16
第二節 資料特性分析 17
第肆章 實證結果與分析 22
第一節 CARR、ACARR與EGARCH模型的參數配適 22
第二節 到期效應與交易量效應 32
第三節 Granger因果檢定 38
第四節 未平倉量與預期波動性、未預期波動性之關係 40
第五章 結論 42
附錄一 44
參考文獻 45















表目錄
表1：S&P500指數期貨合約規格 16
表2 S&P500股價指數期貨日資料之統計特性分析（全部期間） 17
表3 911事件前S&P500股價指數期貨日資料之統計特性分析 17
表4 911事件後S&P500股價指數期貨日資料之統計特性分析 18
表5 單根檢定整理表 20
表6. ARCH-LM檢定 21
表7：全部樣本期間下CARR模型的參數估計 22
表8 CARR模型之概似比檢定 23
表9：美國911事件前CARR模型參數估計 23
表10：美國911事件後CARR模型參數估計 24
表11：全部樣本期間下，上漲變幅模型參數估計（ACARR） 25
表12：美國911事件前上漲變幅模型參數估計（ACARR） 26
表13：美國911事件後上漲變幅模型參數估計（ACARR） 26
表14上漲變幅模型參數估計（ACARR）之概似比檢定 27
表15：全部樣本期間下，下漲變幅模型參數估計（ACARR） 28
表16：美國911事件前下漲變幅模型參數估計（ACARR） 28
表17：美國911事件後下漲變幅模型參數估計（ACARR） 29
表18下漲變幅模型參數估計（ACARR）之概似比檢定 29
表19 全部樣本期間下EGARCH模型估計 30
表20 美國911事件前、EGARCH模型參數估計 31
表21 美國911事件後EGARCH模型參數估計 31
表22 EGARCH模型之概似比檢定 32
表23 到期效應與交易量效應 34
表24 到期效應、交易量效應與未平倉量效應 36
表24 到期效應、交易量效應與未平倉量效應（續） 37
表25　Granger因果檢定 39
表26 未平倉量與預期波動性、未預期波動性之關係 41









圖目錄
圖1：報酬率（ret）走勢圖………………………………………………18
圖2：變幅（rng）走勢圖走勢圖…………………………………………18
圖3：上漲變幅（UPR）走勢圖………………………………………… 19
圖4：下跌變幅（DWNR）走勢圖……………………………………… 19

參考文獻
中文部份
1.周雨田、巫春洲與劉炳麟(2004)，「動態波動模型預測能力之比較與實証」，財務金融學刊，第十二卷，第一期，頁1-25。
2.張焯然（2001），「台股指數期貨動態避險效果之探討」，臺灣管理學刊，第一卷，第一期，頁151-164。













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