臺灣博碩士論文加值系統

由於金融市場的國際化及自由化、金融商品的創新及各國金融制度限制的鬆綁，跨國上市的期貨商品成為投資人避險及投資的新選擇；近來諸多學者針對跨國上市之交易所是否有相互影響進行討論，實證結果顯示交易所之間確實存在資訊傳遞的差異性。
本研究以EGARCH及GJR-GARCH模型來探討跨國上市之金融期貨其報酬及波動外溢效果，樣本選取上分別以三種不同型式之期貨為討論對象：利率期貨(三個月期之歐洲美元及歐洲日圓)、股價指數期貨（日經225指數）以及匯率期貨(日圓期貨)；利率期貨及股價指數期貨之採樣期間為2002/04/01至2006/04/30，匯率期貨之採樣期間則為2003/05/07至2005/12/19。
依據本研究實證結果，可以歸納出以下幾點結論：
1. 交易所之報酬及波動皆會受到自己本身前期及跨市場之不對稱影響，且本身市場之影響較跨市場之影響程度來的顯著。
2. 不同的經濟區域著實會造成交易所之間的差異；在相同經濟區域之交易所其相關性較高且跨市場的影響力較不同經濟區域之交易所來的明顯。因此投資人可以依據跨市場之訊息對其投資決策進行調整。
3. 由本研究中之實證結論無法支持國際金融中心之假設，且發現亞洲市場於國際市場之影響力有增加之趨勢；推論其因可能為市場之間自由化及國際化程度之增加，且採樣之金融期貨其標的資產大都為亞洲金融商品（日圓或日經股價指數），因此就大多數跨國上市之金融期貨而言，來自亞洲市場之資訊傳遞似乎相較於來自美國市場之資訊傳遞效果更為顯著。

The fast growth in international trade, rapid innovations in financial products, and liberalization and globalization of economy have accelerated the interaction of international financial markets. The financial futures contracts cross-listed in different exchanges of different countries have provided more alternatives for investors in their investment strategies, and thus have attracted more and more attention in financial research. This study intends to investigate the potential asymmetric spillover effects of returns and volatilities of the cross-listed financial futures contracts. The research sample includes three types of financial futures: the interest rate futures (3-month Eurodollar and Euroyen futures), stock index futures (Nikkei 225 index futures) and the currency futures (Japanese yen futures), covering the period from Apr. 1, 2002 to Apr. 30, 2006 for interest rate and stock index futures and the period from May 7, 2003 to Dec. 19, 2005 for currency futures.
The empirical results are summarized as follows.
1. The returns and volatilities of the cross-listed financial futures are affected by information from its own exchange and other exchanges, and the influence from its own exchange is more substantial than that from other exchanges.
2. For the cross-listed financial futures, information is transmitted from exchanges in the same region, then to exchanges in different regions. Since the exchanges in the same region display higher correlation, investors tend to pay more attention to the news from the exchanges geographically closer to them and to adjust their decisions accordingly.
3. The results of the study do not support the international financial center hypothesis. Instead, Asian financial markets are found to play a relatively more important role for the cross-listed financial futures. The results tend to support the home-bias hypothesis. The fact that majority of the underlying assets of the cross-listed financial futures studied in this research are actually from Japanese financial markets may provide reasonable explanations for the findings.

Chapter 1 Introduction 1
1.1 Research Motivation 1
1.2 Research Objectives 2
Chapter 2 Review of Related Literature 3
2.1 The investigations that related literatures of markets. 3
2.2 Cross-Listed Futures Contracts. 5
2.3 Mean Transmission, Volatility Spillover and Asymmetry. 6
Chapter 3 Research Design 13
3.1 Data 13
3.2 Methodology 14
3.3 Empirical Model Specifications 15
Chapter 4 Empirical Results 19
4.1 Econometric Method 19
4.2 Bivariate EGARCH Model 20
4.3 Bivariate GJR-GARCH Model 21
4.4 Hypothesis Testing for Asymmetry 21
Chapter 5 Conclusions 23
Reference 24

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