臺灣博碩士論文加值系統

期貨交易量、價格波動與到期期間三者之關係，會直接影響到市場交易者所需繳交之保證金及避險策略的選擇。例如：期貨價格波動若會隨著到期日的接近而增大，這代表著交易者將被要求更多的保證金。此外，這也代表著現貨與期貨的關聯性降低，有著調整避險策略的必要。因此，實有必要針對期貨交易量、價格波動與到期期間三者之關係作一深入的探討。
本研究選擇以美國芝加哥商品交易所(CME)的S&P500指數期貨、日本大阪證券交易所(OSE)的Nikkei 225指數期貨、英國倫敦國際金融期貨交易所(LIFFE)的FTSE 100指數期貨、香港期貨交易所(HKFE)的恆生指數期貨及德國期貨交易所(DTB)的DAX指數期貨做為實證研究標的，樣本由連續近月契約所組成。在研究方法方面，由於GARCH模型對金融商品時間序列資料有著較一般傳統計量模型更好的描述性，因此本研究將以修正後的GARCH模型，探討期貨交易量、價格波動與到期期間三者之關係。
實證結果歸納如下：
一、 指數期貨之價格與交易量波動過程均符合GARCH(1,1)模型。
二、 到期期間與價格波動之關係為正向關係，拒絕Samuelson所提負向的到 期效果假說。
三、 交易量與價格波動呈現顯著的正向關係，且交易量對價格波動具有相當 的解釋能力。
四、 到期期間與交易量之間呈現顯著的正向關係，即交易量會隨著到期日的 接近而減少。

The dynamic bilateral relationships between volume, price volatility and maturity of futures have implications for margin setting and hedging strategy. For example, if volatility rises as delivery approaches, margins are also required to increase. In addition, the correlation between spot and futures prices will tend to decline. The hedging strategy must be adjust or modified. In consequence, it is necessary to investigate the relationships between volume, price volatility and maturity of futures.
The empirical data including the CME S&P 500 stock index futures, OSE Nikkei 225 index futures, LIFFE FTSE 100 index futures, HKFE Hang Seng index futures and DTB DAX index futures will be investigated. A modified GARCH model is used to examine the pairwise relationships between volume, price volatility and maturity of the concerned futures contracts. The GARCH model specification is found to be more appropriate than traditional statistical models because it is capable of mimicking observed statistical characteristics of many time series of financial assets.
The major empirical results are presented as following:
1. The change process of stock index futures price and volume both fit GARCH model during the period considered.
2. The empirical results show a significant positive effect of maturity on volatility, and this contradicts the Samuelson hypothesis of a negative effect.
3. Evidence is found of a positive price volatility-volume correlation. And it suggests that volume can help to explain the price volatility of stock index futures.
4. The study found that volume is a positive function of maturity, that is, volume declines as delivery approaches.

目錄
中文摘要…………………………………………………………….. II
英文摘要…………………………………………………………….. IV
目錄………………………………………………………………….. V
圖目錄………………………………………………………………..VIII
表目錄……………………………………………………………….. IX
第一章 緒論………………………………………………………. 1
第一節 研究動機……………………………………………….. 1
第二節 研究目的……………………………………………….. 2
第三節 研究架構……………………………………………….. 3
第二章 指數期貨之特性與發展沿革………………………… 5
第一節 股價指數期貨之發展…………………………………… 5
一、股價指數期貨的意義…………………………………… 5
二、股價指數期貨的興起…………………………………… 6
三、台灣期貨市場之發展…………………………………… 7
第二節 股價指數期貨之特色…………………………………… 9
一、股價指數期貨之功能…………………………………… 9
二、股價指數期貨與股票現貨之比較………………………11
第三節 他山之石…………………………………………………12
一、股價指數期貨對股票市場的可能衝擊…………………13
二、日本經驗…………………………………………………14
三、1987年的全球大崩盤…………………………………..16
第三章 文獻探討………………………………………………….21
第一節 到期期間與價格波動……………………………………21
一、理論假說…………………………………………………22
二、實證文獻…………………………………………………25
第二節 價格波動與交易量………………………………………28
一、理論假說…………………………………………………28
二、實證文獻…………………………………………………31
第三節 交易量與到期期間………………………………………33
本章附註…………………………………………………………..37
第四章 資料處理………………………………………………….38
第一節 變數定義與衡量…………………………………………38
一、到期期間…………………………………………………38
二、價格波動…………………………………………………39
三、交易量……………………………………………………40
第二節 資料描述與處理…………………………………………41
一、資料描述…………………………………………………41
二、資料處理…………………………………………………43
三、資料來源…………………………………………………44
第五章 研究方法………………………………………………….51
第一節 GARCH模型…………………………………………….51
一、GARCH模型過程……………………………………….52
二、GARCH模型穩定條件………………………………….53
三、GARCH模型參數估計………………………………….54
四、異質變異數的檢定………………………………………56
第二節 實證分析模型……………………………………………58
一、到期期間與價格波動關係之探討………………………58
二、交易量與價格波動關係之探討…………………………59
三、到期期間與交易量對價格波動之影響…………………60
四、交易量與到期期間關係之探討…………………………61
本章附註…………………………………………………………..63
第六章 實證結果與分析…………………………………………64
第一節 資料檢定…………………………………………………64
一、基本統計分析……………………………………………64
二、LM檢定及Q統計量檢定..……………………………..65
第二節 到期期間與價格波動之關係……………………………66
第三節 交易量與價格波動之關係………………………………68
第四節 到期期間與交易量對價格波動之影響……………….. .69
第五節 交易量與到期期間之關係………………………………70
第七章 結論與建議……………………………………………….80
第一節 結論………………………………………………………80
第二節 研究限制…………………………………………………82
第三節 建議……………….. …………………………………….82
參考文獻……………….. ……………………………………………84
圖目錄
圖 1-1 研究架構……………………………………………………. 4
表目錄
表 2-1 各國主要股價指數期貨一覽表……………………………..19
表 2-2 股價指數期貨與股票之差異………………………………..20
表 3-1 到期期間與價格波動關係相關文獻………………………..35
表 3-2 交易量與價格波動關係相關文獻…………………………..36
表 4-1 美國S&P 500 股價指數期貨契約規格…………………….45
表 4-2 日本Nikkei 225 股價指數期貨契約規格…………………..46
表 4-3 英國FTSE 100 股價指數期貨契約規格……………………47
表 4-4 香港恆生股價指數期貨契約規格……………………………48
表 4-5 德國DAX 股價指數期貨契約規格…………………………49
表 4-6 樣本基本資料一覽表………………………………………...50
表 6-1 各國指數期貨資料基本統計值………………………………73
表 6-2 LM檢定及Q統計量檢定結果……………………………….74
表 6-3 GARCH(1,1)-maturity 模型之最大概似估計值……………..75
表 6-4 GARCH(1,1) 模型之最大概似估計值……………………….76
表 6-5 GARCH(1,1)-volume 模型之最大概似估計值………………77
表 6-6 GARCH(1,1)-maturity and volume 模型之最大概似估計值...78
表 6-7 交易量與到期期間之關係實證結果………………………….79

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