臺灣博碩士論文加值系統

本文主要探討期貨市場中真實偏態與報酬及波動之間的關係。我們引用Amaya, Christoffersen, Jacobs, and Vasquez (2015) 對真實偏態 (realized skewness) 的測度方法，以2007年1月至2014年12月的台灣加權股價指數期貨的日內報酬資料來建構台灣加權股價指數期貨的真實偏態，實證結果顯示報酬與真實偏態之間呈現顯著的正向關係，此一結果隱含，在期貨市場中，投資人具有偏好偏態為正的投資，即投資在未來可能獲得較高報酬的指數期貨，此行為類似在股票市場中投資人偏好交易具有樂透性的股票，如同Kumar (2009) 的研究所發現。另外本文也發現波動與真實偏態之間呈現顯著的負向關係，負的偏態伴隨較大的市場波動，此結果隱含在期貨市場中也存在財務槓桿效果。

This study investigates the effect of realized return skewness on the future return and volatility in the futures market. We measure the realized skewness following the approach of Amaya, Christoffersen, Jacobs, and Vasquez (2015). Based on the intraday data set of the Taiwan index futures market from January 2007 to December 2014, we find that return skewness is positively related to futures return. This result implies that in the futures market, investors prefer investment with positive realized return skewness, that is, investing in index futures is likely to receive higher return in the futures market. This behavior is similar to the investors who prefer to trade lottery stocks, as found by Kumar (2009). In addition, we also find the negative relation between return skewness and volatility. The negative skewness is accompanied with relatively large market fluctuation, which implies that there is a financial leverage effect in the futures market.

第一章 緒論 1
第一節 研究動機及背景 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻探討 5
第一節 偏態與報酬之關係 5
第二節 波動性與報酬之關係 6
第三節 投資者的偏好行為 7
第三章 研究方法 9
第一節 資料來源與研究樣本 9
第二節 變數的解釋及定義 9
第三節 研究模型 10
第四章 實證結果分析 13
第一節 敘述統計 13
第二節 實證結果 18
第三節 穩健性分析 21
第五章 結論 26
參考文獻 27
附錄

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