臺灣博碩士論文加值系統

股價指數期貨不論在理論或實證研究上，大多預測期貨市場對於新資訊的反應能力較現貨市場快，且可能加速現貨市場反應新資訊的速度，亦即隱含若存在明顯的領先落後關係，股價指數期貨市場與股票現貨市場間便具有套利機會，基此本研究選取1998年9月21日至12月19日的交易資料，共2,465組台股指數期貨與指數現貨價格之每5分鐘資料，以共整合、誤差修正模型、Granger因果關係，進行研究「TAIFEX台股」、「SIMEX台股」之期貨與其現貨價格間之連動情形及領先-落後(lead-lag)關係，亦即分別探討台股期貨市場間對於新資訊之流動方向，及最近期、次近期期貨和現貨間的日內價格發現能力，在價格上何者具有預測另一者的能力。實證結果顯示：
1.五個序列均為I(1)一階整合級次，亦即摩根、「TAIFEX台股」期貨與現貨價格為不穩定的序列，皆無法拒絕存有單根的虛無假設，經一階差分後呈現穩定。
2.價格序列間存在共整合現象，意謂著摩根、「TAIFEX台股」期貨與現貨市場之相對價格在長期會維持穩定的一致性。
3.台股期貨與現貨價格間呈現回饋(feedback)關係，彼此的資訊會相互流動，均扮演著價格發現角色，會參考對方的價格資訊。隱含投資人要合理掌握台股期貨或現貨的趨勢時，應同時參考期貨與現貨的價格走勢，因為兩者均同時受前期同一市場及前期另一市場價格波動所影響。
4.在領先落後關係方面，發現(1)SIMEX台股期貨為現貨的領先指標，且次近期期貨為最近期期貨的領先指標，具有價格發現功能；(2)但「TAIFEX台股」則為現貨領先期貨。可能是由於我國的交易成本偏高及投資大眾對於「TAIFEX台股」指數期貨還不熟悉，使得大部份資金流入股市，造成新資訊會先反應於現貨。
5.對新資訊的反應能力方面，本文使用五分鐘資料頻率，故研究結果亦間接證實台股期貨與現貨對新資訊的反應時間不會超過45分鐘。
6.在國境地域假說方面，新加坡較台灣有資訊及價格領導的優勢，表示台股期貨的資訊傳遞很快，不受國境地域的空間影響。推測為(1)SIMEX採人工喊價，使人氣大增，且SIMEX台股期貨的開盤時間較TAIFEX市場早15分鐘，且SIMEX下午有電子盤交易，因此需注意SIMEX台股期貨的開盤價對國內現貨開盤之影響，以及SIMEX台股期貨的收盤價格對次日「TAIFEX台股」期貨及現貨開盤價格的影響。(2)摩根台股成分股僅77支，交易人較易在SIMEX台股期貨與現貨市場中套利。
總之，兩個台股期貨與現貨市場間的資訊會相互影響，價格為回饋關係；且SIMEX台股期貨價格領先現貨價格，亦即期貨價格可做為預測現貨價格的指標。

Whatever the Stock Index Futures is in the theory or in proved study, most of the people will foresee the futures market is more sensitive than spot market, and the futures market may promote the spot market as well. In other words, it implies the existent and obvious lead-lag relationship, thus, it will have arbitrage opportunities between the Stock Index Futures Market and Spot Market. Therefore, I choose the transaction data from September 21 to December 19 of 1998, and there are five-minute intraday data on prices of 2465- set Taiwan Stock Index futures and spot price. With cointegration, Error Correction Model(ECM) and Granger Casuality test, I proceed the lead-lag relationship and dynamic interaction of futures and spot prices between TAIFEX and SIMEX(Singapore International Monetary Exchange), that is, individually explore the flowing direction of new information and the intraday price discovery of the spot and futures market. Which is capable of predicting the other one? The results of the empirical test are:
1.All five series is unstable, which can''t exclude unit root. It presents stability after one difference.
2.The price series exist cointegration. What it means the relative price of SIMEX and TAIFEX will stay the stable consistence for the long term.
3. The feedback relationship is revealed in the Taiwan stock index futures and spot price, then their information will flow to each other. What''s more, both of them play the price discovery function and refer to the price information of the other. It implies investors have to both reasonably catch up with the trends of the Taiwan Stock Index Futures or spot price since both they will be influenced by price fluctuation of the previously the same and another markets.
4.In the aspect of the lead-lag relationship, I discover (1)SIMEX Taiwan Stock Furtures is the lead goal of spot; the next near futures is the lead goal of the near futures, which has price discovery function. (2)However, TAIFEX is that the spot market leads the futures market.
Probably it is because our transaction cost inclines higher, and investors is not familiar with TAIFEX, which leads most capital flows into stock market. Then the results of information will respond to spot.
5.As to the responding ability of new information, this text uses five-minute interval so that this study result also indirectly verify the responding hours of the Taiwan Stock Index Futures, and spot will not be more than 45 minutes.
6.The hypothesis of the border and territories: Singapore will possess the superiority in information and price lead. It indicates the Taiwan Stock Index Futures prevails very fast and is not effected by the changes of territories. The prediction is (1) SIMEX uses open cry in trading pits, which results in a great number of people. The opening hour is 15 minutes earlier than TAIFEX Market. In addition, there is electronic data processing system transaction in the afternoon, therefore, we need to notice the influence of SIMEX spot opening hour in the country, and that of closing price for SIMEX in the spot price on TAIFEX. (2) SIMEX has 77 pieces only. Traders easily get arbitrage in SIMEX and the spot market.
All in all, the Taiwan Stock Index Futures and spot market will mutually influence, and the price is a type of feedback relationship. The price of SIMEX will be prior to the price of the spot --it can be the target for predicting spot price.

總 目 　錄
中文摘要Ⅰ
英文摘要Ⅱ
誌　　謝Ⅲ
目　　錄Ⅳ
圖 目 錄Ⅶ
表 目 錄Ⅷ
符號定義Ⅸ
目　　　　錄
第1章 緒論1
1.1 研究背景1
1.2 研究動機2
1.3 研究目的3
1.4 研究問題4
1.5 論文架構5
1.6 研究流程6
第2章 文獻回顧與假說發展7
2.1 依期貨領先現貨歸納8
2.2 依現貨領先期貨歸納15
2.3 依期貨和現貨無單方向之領先－落後關係歸納16
2.4 文獻整合與比較20
2.5 相關理論與假說發展22
2.5.1 設定研究假說範圍22
2.5.2 期貨契約選取準則22
2.5.3 領先假說23
2.5.4 國境地域假說30
第3章 研究方法32
3.1 資料選取說明與處理35
3.1.1 研究對象35
3.1.2 研究期間35
3.1.3 資料來源36
3.1.4 資料處理37
3.2 時間序列穩定性檢定39
3.2.1 穩定(stationary)與非穩定(nonstationary)39
3.2.2 單根檢定(Unit Root Test)40
3.2.3 選擇最適落後期數42
3.3 共整合(COINTERGRATION)43
3.3.1 共整合之定義43
3.3.2 檢定共整合的步驟46
3.3.3 向量共整合(vector cointegration)48
3.3.4 Johansen最大概似法49
3.4 誤差修正模型（ERROR CORRECTION MODEL, ECM）51
3.5 因果關係(GRANGER CAUSALITY)54
第4章 實證研究結果與統計分析56
4.1 基本統計檢定56
4.2 時間序列穩定性檢定59
4.2.1 選擇最適落後期數59
4.2.2 單根檢定60
4.3 長期穩定的均衡關係63
4.4 誤差修正模型66
4.5 檢定期貨與現貨價格之因果關係69
第5章 結論與建議71
5.1 研究結論71
5.2 研究特色與貢獻74
5.3 研究限制74
5.4 後續研究方向與建議75
附 錄77
A. 股價指數期貨之功能77
B. 指數期貨和現貨股票的比較78
C. 股價指數期貨合約歷史彙整表79
D. 台、星、美、港四地台股期貨合約比較表80
D. 台、星、美、港四地台股期貨合約比較表(續)81
E. 台灣證券交易所股價指數期貨契約規格82
參 考 文 獻83
第一部分：中文參考文獻 (按筆劃順序排列)83
第二部分：英文參考文獻 (接英文字母順序排列)84
作 者 簡 介88
圖 目 錄
圖1.1 研究問題圖4
圖1.2　論文架構圖5
圖1.3　研究流程圖6
圖2.1　持有成本模型的基本假設與現實環境圖25
圖3.1　研究實證流程圖34
圖4.1 「SIMEX台股」現貨與期貨價格的走勢圖56
圖4.2 「TAIFEX台股」現貨與期貨價格的走勢圖57
圖4.3　五個序列之原始趨勢圖60
圖4.4　差分後之趨勢圖61
表 目 錄
表2.1 研究實證為期貨領先現貨之歸納表20
表2.2 研究實證為現貨領先期貨之歸納表21
表2.3 研究實證為期貨和現貨並無單方向之領先落後關係之歸納表…..21
表3.1 TAIFEX台股期貨契約交易月份表38
表3.2 指數期貨合約月份國際通用代碼表38
表4.1 原始序列基本性質表57
表4.2 現貨與期貨價格的相關係數矩陣表58
表4.3 單根檢定1~12期之落後期數表59
表4.4 原始序列及經一次差分後的序列之單根檢定結果表……………..62
表4.5 JOHANSEN共整合檢定表63
表4.6 誤差項的單根檢定結果表64
表4.7 共整合向量迴歸式表65
表4.8 ECM誤差修正模式1~12期之落後期數表66
表4.9 「SIMEX台股」現貨與最近期期貨因果關係檢定表(ECM)67
表4.10 「SIMEX台股」最近期與次近期期貨因果關係檢定表(ECM)67
表4.11 「SIMEX台股」現貨與次近期期貨因果關係檢定表(ECM)68
表4.12 「TAIFEX台股」現貨與最近期期貨因果關係檢定表(ECM)68
表4.13 「SIMEX台股」現貨與「TAIFEX台股」現貨之因果關係表69
表4.14 「SIMEX台股」與「TAIFEX台股」最近期期貨因果關係表…..70
表4.15　「SIMEX台股」期貨與「TAIFEX台股」現貨之因果關係表70
表5.1 研究假說之實證結果表……………………………………………73
表5.2 五個序列因果關係之綜合判斷GRANGER CASUALITY73
表5.3 台股期貨各月份日平均成交量（日均量）統計表75

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