臺灣博碩士論文加值系統

本文運用三變量VAR-GARCH參數設定的概念，分別以電子選擇權的買權與賣權對電子類股指數與電子期貨為研究對象進行分析。基於電子選擇權為新金融商品其成交量尚未成熟的考量下取日內80分鐘之資料型態，就電子選擇權2005年3月28日上市起至2005年12月31日止，對跨市場之間的價格關係與波動內涵進行實證。實證結果包含以下三項：(1)電子買權、現貨與期貨方面，期貨領先現貨320分鐘。(2)電子賣權、現貨與期貨方面，期貨領先現貨240分鐘，現貨則領先賣權240分鐘，整體比較下以期貨的價格發現能力最強。(3)波動外溢中以選擇權影響其他市場的程度最大，尤其以買權最為顯著。(4)此外，賣權波動會外溢至現貨與期貨市場，卻不受其他市場的波動影響。(5)以半衰期之概念衡量波動持續性，波動持續時間以買權最久。買權、賣權、現貨與期貨波動持續時間分別為267, 63, 70至115與61分鐘。

This study applies the concept of BEKK parameterization to building the empirical model, triple-VAR-GARCH, focused on Taiwan stock exchange electronic sector index option (TEO) call and put, Taiwan stock exchange electronic sector index futures (TE) and Electronic sector index (Electronics). TEO is a new financial instrument and the transactors haven’t grown, so we choose intra-day 80 minutes as study interval draw data from TAIFEX and TSEC. The sample period is from TEO listed on March 28, 2005 to December 31, 2005. The research purposes include two guides, the price relationship and the price volatility among TEO call, put, TE and Electronics. The empirical conclusions regard as the following: (1) The price discovery is more significant of TE. Among call options, Electronics and TE, TE leads Electronics 320 minutes. (2) However, from put options, Electronics and TE, TE leads Electronics 240 minutes and then Electronics leads put 240 minutes. (3) About the volatility spillover, the result on TEO is more distinctive, especially the result on call options spillover to Electronics and TE. (4) On the other hand, the result on put options spillover to Electronics and TE isn’t influenced by the volatility in other markets. (5) Finally, from half-life concepts, the volatility persistence in call options is the longest, the interval of call, put, Electronics and TE are 267, 63, 70-115 and 60 minutes, respectively.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 論文架構 3
第四節 研究流程 4
第二章 衍生性商品之簡介與文獻探討 5
第一節 電子類股價指數期貨與選擇權之契約規格 6
第二節 指數現貨與衍生性商品的價格發現文獻 7
第三節 指數現貨與衍生性商品的波動外溢文獻 10
第三章 研究方法 18
第一節 建立研究假說 18
第二節 收集與處理資料 19
第三節 建構實證模型 26
第四節 進行模型估計 29
第四章 實證結果與分析 30
第一節 敘述統計 30
第二節 資料鑑定 31
第三節 實證模型估計 35
第五章 結論與建議 43
第一節 實證結論 43
第二節 研究建議 44
參考文獻 45

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