跳到主要內容

臺灣博碩士論文加值系統

(35.168.110.128) 您好!臺灣時間:2022/08/16 05:36
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:謝秀虹
研究生(外文):Hsiu-Hung Hsieh
論文名稱:台灣期貨市場保證金水準設定之研究
論文名稱(外文):The Margin Levels Setting in Taiwan Futures Market
指導教授:林楚雄林楚雄引用關係
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:財務管理所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:69
中文關鍵詞:VaR-x法尾部指數保證金水準Hill 估計式極值理論
外文關鍵詞:Margin LevelVaR-x.Hill EstimatorTail IndexExtreme Value Theory
相關次數:
  • 被引用被引用:6
  • 點閱點閱:436
  • 評分評分:
  • 下載下載:116
  • 收藏至我的研究室書目清單書目收藏:2
摘要
本文應用極值理論研究台股指數期貨報酬之極值行為與保證金水準之估計。在極值理論的應用上,本文主要採取無母數方法以避免有母數方法在估計時必須對於分配作假設之限制。此外,本文除了以Hill法估計保證金水準之外,更進一步引進VaR-x法於保證金水準的研究上,以解決Hill估計式在小樣本下的偏誤。本文研究期間為1998年07月21日至2001年11月9日。本文實證結果為:1.台股指數期貨價格變動符合Frechet極值分配。2.常態分配的假設會造成保證金水準的低估。3.在小樣本的情況下,Hill估計式會造成保證金水準設定的偏誤,而本研究所引進的VaR-x法則可成功的修正此缺點,並且VaR-x法可提供期交所在設定保證金水準時,一個非常簡便而且可以滿精確計算保證金水準的方式。4.在考量不同部位風險程度的情況下,期交所應設定不同之保證金水準。5.進行動態風險管理時,較建議採用EGARCH模型。由於每日設定不同保證金水準在實務上並不易實施,因此建議當報酬波動達到某一程度時才重新設定保證金水準,在進行動態風險控管時較符合實際情況。
ABSTRACT
This paper examines the behavior for TAIFEX weighted stock index futures contracts, and applies extreme theory in computing optimal margin levels for TAIFEX weighted stock index future. In this paper we use the Hill estimator of nonparametric approach in computing margin level, because it do not assume distribution that the observations of extremes follow exactly the asymptotic distribution. Furthermore, we apply the VaR-x method for correcting the bias errors in small sample of Hill index. The sample period is from July 21, 1998 to November 9, 2001. In our empirical findings, we get that: (1) TAIFEX weighted stock index future price changes follow a Frechet extreme value distribution, (2) the comparison of the extreme value method with a method based on normality shows that using normality leads to underestimates the margin level, (3) Hill index leads to dramatic overestimates of the margin level, and VaR-x avoids this problem, (4) there are significant differences between the risk inherent in long and short position, TAIFEX should impose different margin level. (5) the result show that EGARCH model provides a more accurate margin level for dynamic risk measurement than GJRGARCH model.
目錄
中文提要…………………………………………………I
英文提要…………………………………………………II
誌謝……………………………………………………...III
目錄……………………………………………………...IV
圖目錄……………………………………………………V
表目錄…………………………………………………...VI
第一章緒論
第一節研究動機…………………………………………….1
第二節研究目的…………………………………………….2
第三節研究特色…………………………………………….6
第四節研究內容與流程…………………………………….7
第二章保證金設定問題分析及文獻回顧
第一節保證金設定問題分析………………………………9
第二節文獻回顧……………………………………………13
第三章極值理論與研究方法介紹
第一節極值理論……………………………………………17
第二節極值分配與尾部指數估計…………………………20
第三節保證金水準估計……………………………………25
第四章實證研究
第一節料來源與資料統計分析……………………………31
第二節實證結果分析………………………………………35
第五章結論…………………………………………………61
參考文獻……………………………………………………….63
參考文獻1.李志宏、李進生、盧陽正(2000),「新加坡摩根台指期貨與本國台指期貨合約稅制、保證金、漲跌設計及替代性之評估」,證券市場發展季刊,第12卷第1期,頁146-167。2.陳恆杰(2001),「臺灣加權股價指數期貨最適保證金之研究」,國立高雄第一科技大學財務管理研究所。3.陳智誠(1996),「合理的期貨保證金額度之研究-以SIMEX摩根台股指數期貨為例」,國立臺灣大學財務金融學研究所。4.Baer, H. L., V. G. France, and J. T. Moser (1994), “Opportunity Cost and Prudentiality: An Analysis of Futures Clearinghouse Behavior”, Policy Research Working Paper 1340, The World Bank Policy Research Department, World Bank, New York.5.Brennan, M.J. (1986), “A Theory of Price Limits in Futures Markets”, Journal of Financial Economics 16, 213-233.6.Booth, G.G., Broussard, J.P., Martikainen, T., Puttonen (1997), “Prudent Margin Levels in the Finnish Stock Index Futures Market”, Management Science 43, 1177-1188.7.Cotter, J. (1998), “Testing Distributional Models for the Irish Equity Market”, Economic and Social Review 29, 257-269.8.Cotter, J., Mckillop, D.G. (2000), “The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange”, Journal of Business Finance and Accounting (forthcoming),9.Cotter, J. (2001), “Margin Exceedences for European Stock Index Futures Using Extreme Value Theory”, Journal of Banking and Finance 25, 1475-1502.10.Danielsson, J., de Vries, C.G. (1997a), “Value at Risk and Extreme returns”, Financial Markets Group Discussion Paper, No.273. London School of Economics, London.11.Danielsson, J., de Vries, C.G. (1997b), “Tail Index and Quantile Estimation with Very High Frequency Data”, Journal of Empirical Finance 4, 241-257.12.Danielsson, J., de Vries, C.G. (1997c), “Beyond the Sample: Extreme Quantile and Probability Estimation”, Mimeo, Tinbergen Institute Rotterdam.13.de Hann, L. and S. I. Resnick(1980), “A Simple Asymptotics Estimate for the Index of A Stable Distribution”, Journal of the Royal Statistical Society, Series B, 83-87..14.Dickey, David and Wayne A. Fuller (1979), “Distribution of the Estimates for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association 74, 427-431.15.Dickey, David and Wayne A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica 49, 1057-1072.16.Duffie, D. (1989), Futures Markets. Prentice-Hall, New York.17.Dumouchel, W.H. (1983), ”Estimating the Stable Index α in Order to Measure the Tail Thickness: A Critique”, Annals of Statistics 11, 1019-1031.18.Edwards, F., F. Neftci. (1988), “Extreme Price Movements and Margin Levels in Future Markets”, Journal of Futures Markets 8, 639-655.19.Embrechts, P., Kluppelberg, C., Mikosch, T. (1997), “Modeling Extreme Events”, Springer, Berlin.20.Fenn, G. W. and Kupiec(1993), “Prudential Margin Policy in a Future-style Settlement System”, Journal of Futures Markets 13, 389-408.21.Figlewski, S. (1984), “Margins and Market Integrity: Margin setting for stock Index Futures and Options”, The Journal of Futures Markets 4, 385-416.22.Fish, Raymond, P.H., Goldberg, Lawrence, G., Gosnell, Thomas, F., Sinha Sujata (1990), “Margin Requirements in Futures Markets: The Relationship to Price Volatility”, Journal of Futures Markets 10, 541-554. 23.Fisher,R.,Tippett, L. (1928), “Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample”, Proceedings of the Cambridge Philosophical Society, 180-190.24.Gnedenko, B.V. (1943), “Sur La Distribution Limite Du Terme Maximum d’une Serie Aleatorire”, Annals of Mathematics 44, 423-453.25.Goldie, C.M. and R.L. Smith (1987), “Slow Variation with Remainder: Theory and Applications”, Quarterly Journal of Mathematics, Oxford 2d ser. 38, 45-71.26.Gumbel, E.J. (1958), Statistics of Extremes, Columbia University Press, New York.27.Hall, J.A., Brorsen, B.W., Irwin, S.H. (1989), “The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normal Hypothesis”, Journal of Financial and Quantitative Analysis 24, 105-116.28.Hall, P. (1982), “On Some Simple Estimates of an Exponent of Regular Variation”, Journal of the Royal Statistical Society, Series B 44, 37-42.29.Hall, P., Welsh, A.H. (1985), “Adaptive Estimates of Parameters of Regular Variation”, Annals of Statistics 13, 331-341.30.Hill, B.M. (1975), “A Simple General Approach to Inference about the Tail of a Distribution”, Annals of Statistics 3, 1163-1174.31.Hols, M.C.A.B. and G. de Vries (1991),“The Limiting Distribution of Extreme Exchange Rates Return”, Journal of Applied Econometrics 6, pp.287-302.32.Huisman, R., Koedijk, K.G., Pownall, R.A.J. (1998), “VaR-x: Fat tails in Financial Risk Management”, Journal of Risk 1(1), 47-61. 33.Hunter, W.C. (1986), “Rational Margins on Futures Contracts: Initial Margins”, Review of Research in Futures Markets 5, 160-173.34.Jansen, D., de Vries, C. (1991), “On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective”, The Review of Economics and Statistics 73, 18-24. 35.Kearns, P., Pagan, A. (1997), “Estimating the Density Tail Index for Financial Time Series”, The Review of Economics and Statistics 79, 171-175.36.Koedijk, K.G., Kool, C.J.M. (1992), “Tail Estimates of East European Exchange Rates”, Journal of Business and Economic Statistics 10, 83-96. 37.Kupiec, P.H., White, A.P. (1996), “Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems”, Journal of Futures Markets 16, 943-968.38.Leadbetter, M.R., Lindgren, G., Rootzen, H. (1983), “Extremes and Related Properties of Random Sequences and Processes”, Springer, New York.39.Longin, F. M. (1995), “Optimal Margin Level in Future Markets: A Parametric Extreme-Based Method”, Proceeding Ninth Chicago Board of Trade Conference on Futures and Options, Bonn, Germany.40.Longin, F. M. (1996), “The Asymptotic Distribution of Extreme Stock Market Returns”, Journal of Business 69(1), 383-408.41.Longin, F. (1999), “Optimal Margin Levels in Futures Markets: Extreme price Movements”, Journal of Futures Markets 19, 127-152.42.Loretan, M., Phillips, P.C.B. (1994), “Testing the Covariance Stationarity of Heavailed Time Series”, Journal of Empirical Finance 1, 211-248.43.Lux, T. (1996), “The Stable Paretian Hypothesis and the Frequency of Large Returns: An Analysis of Major German Stocks”, Applied Financial Economics 6, 463-475.44.McNeil, A. (1998), “Calculating Quantile Risk Measures for Financial Return Series Using Extreme Value Theory”, Working paper. 45.Pagan, A. (1996), “The Econometrics of Financial Markets”, Journal of Empirical Finance 3, 95-102.46.Phillips, P.C.B., McFarland, J.W., McMahon, P.C. (1996), “Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s”, Journal of Applied Econometrics 11, 1-22.47.Philips, Peter and Pierre Person (1988), “Testing for a Unit Root in Time Series Regression”, Biometrica 75, 335-346.48.Pickands, J. (1975), “Statistical Inference Using Extreme Order Statistics”, Annals of Statistics 3, 119-131.49.Reiss, R.D. and Thomas, M.(1997), “Statistical Analysis of Extreme Values”, Birkhauser-Verlag, Basel.50.Tomek, W.G. (1985), “Margin on Futures Contracts: Their Economic Role and Regulation”, In A. Peck (Ed.), Futures markets: regulatory issues, Washington, DC: American Enterprise Institute.51.Venkataraman, S. (1997), “Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques, Federal Reserve Bank of Chicago’s Economic Perspectives March/April, 2-13.52.Warshawsky, M.J. (1989), “The Adequacy and Consistency of Margin Requirements: The Cash, Futures, and Options Segments of the Equity Markets”, Review of Futures Markets 8, 420-437.53.Yang, SR., Brorsen, B.W. (1993), “Nonlinear Dynamics of Daily Futures Prices: Conditional Heterokedasticity of Chaos? ”, Journal of Futures Markets 13, 175-191.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top