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研究生:張哲郎
研究生(外文):Che-Lang Chang
論文名稱:台灣股價指數現貨、期貨與台灣50ETF價格關聯性研究
論文名稱(外文):The Price Relationship of Taiwan Stocks Index Spot, Futures and Taiwan 50 ETF.
指導教授:許光華許光華引用關係
指導教授(外文):Kuang-Hua Hsu
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
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:2005
畢業學年度:93
語文別:中文
論文頁數:107
中文關鍵詞:向量誤差修正模型價格發現台灣50 ETF預測誤差變異數分析.
外文關鍵詞:VECMPrice DiscoveryTaiwan 50 Exchange Traded FundForecast Error Variance Decomposition.
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中文摘要
本文在探討台灣加權股價指數現貨、期貨與台灣50ETF間價格的關係。採用每分鐘最後一筆成交值配對的高頻取樣日內資料。主要使用的模型為單根檢定、共整合檢定、誤差修正模型、因果檢定、衝擊反應函數分析和預測誤差變異數分析。將三種商品的時間序列資料分為四類,以兩商品間的關係和三商品的關係做探討。所得結果如下:(一)三種商品間存在長期均衡的關係。(二)在因果關係檢定中得到四種分類的資料間皆存在相互影響的回饋關係。(三)在向量誤差修正模型中,四種資料分類的實證結果皆支持指數期貨相對ETF有較佳的價格發現能力;ETF相對於指數現貨有較佳的價格發現能力;指數期貨相對於指數現貨有較佳的價格發現能力。資料分類四中三者間價格發現能力之優劣與兩兩變數間之價格發現關係推論所得相同。皆符合槓桿假說、交易成本假說、交易限制假說、市場資訊假說四項假說。價格領先的次序為指數期貨、ETF、指數現貨。(四)在預測誤差變異數分解模型中,將三個變數兩兩之間的關係推導所得之結果與三個變數之間彼此關係的實證結果相同,得到價格發現能力的強弱次序為TF>ETF>TS。
三種商品在向量誤差修正模型和預測誤差變異數分解中皆可得到期貨為最具有價格領先的商品的結論。
Abstract
The purpose of this paper is to find the price lead-lag relationship
among Taiwan stock index, futures index and Taiwan 50 ETF.
The high frequency intraday data (minutely data) are employed. The
Unit Root test, Cointegration test, Vector Error Correction Model
(VECM), Granger causality test, Impulse Response Function and
Forecast Error Variance Decomposition are applied in this paper.
There are four scenarios in the paper as follows: spot index – Taiwan
50 ETF, spot index -futures index, futures index- Taiwan 50 ETF,
spot index –Taiwan 50 ETF- futures index. The major results are the
following (1)There exists an equilibrium in the long run among them.
(2)According to Granger causality test, there is a feedback between
them, (3) In VECM, the order of price discovery ability is futures index,
ETF, spot index. The leverage hypothesis, the trading cost hypothesis,
the trading limited hypothesis and the market wide information
hypothesis are tested in scenario 1,2, 3. It is applicable in scenario 4. In
summary, the futures index being a lead among them is confirmed in the
paper.
目錄
頁次
中文摘要………………………………………………………………Ⅰ
英文摘要 ………………………………………………………………Ⅱ
第一章 緒論…………………………………………………………… 1
第一節 研究背景與動機…………………………………………… 2
第二節 研究目的…………………………………………………… 5
第三節 研究架構與流程…………………………………………… 7
第二章 相關理論及文獻探討………………………………………… 9
第一節 股票指數型基金…………………………………………… 9
第二節 本研究之相關理論…………………………………………18
第三節 相關文獻探討………………………………………………22
第三章 研究方法………………………………………………………28
第一節 單根檢定……………………………………………………28
第二節 共整合關係檢定……………………………………………33
第三節 向量自我回歸模型…………………………………………38
第四節 向量誤差修正模型…………………………………………39
第五節 因果關係檢定………………………………………………42
第六節 預測誤差變異數分解與衝擊反應分析……………………44
第四章 實證分析………………………………………………………47
第一節 實證資料說明………………………………………………47
第二節 實證結果……………………………………………………48
第五章 結論與建議……………………………………………………66
第一節 結論…………………………………………………………66
第二節 研究建議……………………………………………………70
參考文獻 ………………………………………………………………71
一、中文參考文獻 …………………………………………………71
二、英文參考文獻 …………………………………………………71
附錄…………………………………………………………………… Ⅹ
參考文獻:
一、中文參考文獻
1. 林蒼祥、朱正進與謝文良(2004),「固定採樣股價指數-台灣50指數期貨合約研究」,台灣證券交易所委託研究計畫書初稿。
2. 吳易欣(1998),「股價指數期貨與現貨關聯性之研究」,未出版碩士論文,國立政治大學金融研究所碩士論文,台北。
3. 吳宏達(2001),「台股指數期貨與現貨之關聯性與預測-自我迴歸條件異質變異數族群模型之應用」,未出版碩士論文,國立台北大學統計研究所碩士論文,台北。
4. 吳孟展(1999),「SIMEX台股股價指數期貨與縣或關聯性之探討」,未出版碩士論文,淡江大學國際企業研究所,台北。
5. 唐婉崴(2002),「指數現貨、指數期貨與指數股票型基金價格發現能力之探討-NASDAQ 100指數商品為例」,未出版博士論文,淡江大學財務金融學系博士班,台北。
6. 陳怡伶(2004),「台灣50ETF與台灣加權股價指數現貨與台指期貨間的價格關聯性研究」,未出版碩士論文,國立成功大學企業管理研究所,台南。
7. 賴宏昌(1998),「台股指數期貨與現貨間關聯性之研究」,未出版碩士論文,國立中興大學企業管理研究所,台中。
8. 葛思恵、陳正斌(2001),「ETF在台灣發行交易之可行性研究」,台灣證券交易所。
9. 劉廷麟(2001),「台股指數期貨與摩根台指期貨價格發現能力之探討」,未出版碩士論文,淡江大學財務金融學系碩士班,台北。
10. 錢怡成(2001),「股價指數期貨與現貨價格關聯性之研究」,未出版碩士論文,南華大學財務管理研究所,嘉義。
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