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研究生:張子文
研究生(外文):Tzu-wen Chang
論文名稱:在台灣現貨市場中波動與效率的動態關係
論文名稱(外文):The Dynamic Relationship between Volatility and Efficiency in Taiwan Spot Market
指導教授:洪振義洪振義引用關係魏清圳魏清圳引用關係
指導教授(外文):Cheng-Yih HongChing-Chun Wei
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:56
中文關鍵詞:資訊交易者交易成本交易量現貨效率現貨波動期貨交易雜訊交易者
外文關鍵詞:informed traderfutures tradingspot volatilityspot efficiencyvolumetransactioncostnoise trader
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過去文獻對於期貨交易與現貨波動間的互動關係雖多有著墨,但是鮮有加入現貨效率性的探討,本研究採用Brorsen (1991)的理論,做為本研究市場效率性的指標。且進一步的使用GARCH模型在期貨交易發生前後,以增加交易量進而增加市場效率的流動性假說,和以減少交易成本進而增加市場效率的的交易成本假說,相互討論對現貨市場波動和效率的動態關係。並發現在期貨交易之後,交易量和交易成本對波動的關係與期貨交易前有顯著的改變,本研究認為是因為期貨交易後,資訊交易者和雜訊交易者並非存在著均衡的關係,故不管是增加交易量所帶來的雜訊交易者或是減少交易成本所帶來的資訊交易者都會對現貨市場帶來波動。再者期貨交易後,交易成本假說比流動性假說吸引更多的資訊交易者進入市場,進而有效的增加市場的效率性。再者利用Bi-GARCH-M模型,證實Ross (1989)、Brorsen (1991)效率和波動之間的抵換關係。
另外在以往的研究中發現交易者的型態,會影響波動與交易量間的關係,但並無考慮交易者間存在互相回饋的效果。本研究利用SVAR模型證實Subrahmanyam (1991)的論述,認為期貨交易後吸引了更多雜訊交易者的現象;且進一步發現資訊交易者單獨對波動和效率存在著正面的貢獻,而雜訊交易者則單獨對波動與效率存在負向的影響。同時發現效率的提高會吸引資訊交易者的加入,但是過高的市場效率卻又將使得資訊交易者退出市場,如此又會降低效率,效率的增加與減少就如同景氣的循環一般,周而復始。
Though there’ve been many articles that discuss the relationship between the spot and futures market, those articles seldom talk about the efficiency of the spot market. We try to use Brorsen’s theory as an indicator to measure the efficiency. Furthermore, we use GARCH model to demonstrate the dynamic relationship of volatility and efficiency in spot market with two hypotheses; one is to upgrade efficiency by increasing the volume of transaction, and the other one is by reducing the cost of transaction. We also find that the relationship between volatility, volume and cost changes obviously after futures market started. The reason might be the infomed traders and the noise traders are not in the equilibrium. So both of the noise traders brought by increasing volume and the informed traders attracted by reducing cost would cause some volatility in spot market. Besides, the transaction cost hypothesis can bring more the informed traders than the liquidity traders after the launch of future market. It can increase the efficiency of the market as well. In the end, we use the Bi-GARCH-M model to prove the tradeoff between the volatility and the efficiency of Ross (1989)、Brorsen (1991).
Those relevant searches just found that the type of trader affects the relation between volatility and volume but not the existence of feedback among traders themselves. This thesis proved the statement announced by Subrahmanyam (1991) and found that futures transaction appeals to more the informed traders. Furthermore, the informed traders only contribute to fluctuation and efficiency positively; on contrary the noise traders only affect fluctuation and efficiency negatively. Once the market becomes more efficient, more the informed traders join in. But too highly efficiency would force the informed traders drop out and then the efficiency declines. From valley to peak, the change in efficiency is just like the economic cycle.
中文摘要………………………………………………………………Ⅰ
英文摘要………………………………………………………………Ⅱ
誌謝……………………………………………………………………Ⅲ
目錄……………………………………………………………………Ⅳ
表次……………………………………………………………………Ⅵ
圖次……………………………………………………………………Ⅶ

第一章 緒論…………………………………………………………1
第一節 研究背景與動機………………………………………1
第三節 研究目的………………………………………………3
第四節 研究架構………………………………………………4
第二章 文獻回顧……………………………………………………5
第一節 效率市場………………………………………………5
第二節 期貨交易對現貨的影響………………………………8
第三節 交易量、波動與效率之關係…………………………10
第四節 價差、波動與效率之關係……………………………12
第三章 研究方法……………………………………………………13
第一節 單根檢定………………………………………………13
第二節 序列相關和異質性檢定………………………………15
第三節 一般化自我迴歸條件變異數異質模型………………17
第四節 結構性向量自我迴歸模型……………………………21
第四章 實證結果……………………………………………………25
第一節 資料說明與變數定義…………………………………25
第二節 單根檢定結果…………………………………………29
第三節 序列相關及異質性檢定結果…………………………32
第四節 一般化自我迴歸條件異質變異數模型檢定結果……33
第五節 結構性向量自我迴歸檢定結果………………………40
第五章 結論…………………………………………………………50
參考文獻………………………………………………………………52
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