臺灣博碩士論文加值系統

本文旨在探討臺指期貨與選擇權市場資訊對於臺指現貨市場價量關聯性、期貨與現貨領先落後關係的影響，同時考量其資訊對於現貨與期貨市場中波動性之影響效果與比較。

爲達本文目的，選定臺指股價指數現貨市場、期貨市場及選擇權市場，自2002 年 1 月 2 日到 2005 年 8 月 31 日之收盤價、成交量及隱含波動為研究期間樣本。並配適VS-GARCH模型，試圖捕捉市場波動之不對稱GARCH效果。計量過程包括常態性檢定、單根檢定、共整合分析、Ljung-Box Q 檢定、不對稱性檢定及VEC-VS-GARCH模型之建構。

基本上，本研究結果為：第一、現貨市場中納入期貨市場成交量後發現其價量依舊呈現互為因果關係但其價格的價格發現功能與原始模型相比已較不明顯甚至消失；納入選擇權市場隱含波動價差後發現現貨市場價量關聯性之影響與原始模型相比並無明顯之變化。故此短期內投資人運用現貨市場中價量之關聯性來進行套利與避險之策略時需考量期貨與選擇權市場資訊的影響。第二、現貨與期貨市場之報酬率在納入新資訊（期貨成交量、選擇權成交量及隱含波動價差）後確實都對於現貨與期貨市場的領先落後關係產生改變。故短期內投資人對現貨與期貨市場進行投資時需考量期貨與選擇權市場資訊影響以找出兩市場中的價格發現者已達到避險與套利的目的。

The purpose of the study discusses the information of TXF and TXO markets impact upon volume and price interactions on stock index spot market, lead-lag relationship between stock index futures and spot markets in Taiwan Area. Meanwhile, this research also investigates the linkage effects of TXO market information which is incorporated in the model.

In order to achieve the purpose of this study, it employers the variables which include close prices, volumes and implied volatility of TXS, TXF and TXO market. The study is period from January 2, 2002 to the August 31, 2005. In order to capture the asymmetric volatility effects, this study try to build VS-GARCH for empirical purpose. The empirical methods which include Jarque and bera test, the unit root test, Johansen cointegration analysis, Ljung-Box Q test, the sign bias test, the negative size bias test, the positive size bias test and the joint test and BHHH estimation method which are applied to obtain the appropriate results of the VEC-VS-GARCH model.

The major results of this research are as follows：Firstly, there is a long-run equilibrium relationship among volume-price interactions of TXS market and TXF and TXS markets. Secondly, the information of TXF and TXO markets can affect volume- price interations and conditional volatility in the TXS market. In order to achieve the purpose of arbitrage and hedge. Investors must consider the information of TXF and TXO in the TXS market to do better investment decisions. Finally, the information of TXO market and volumes of TXF market can affect lead-lag relationship and conditional volatility between TXF and TXS markets. Accordingly, investors can follow this result in the TXF and TXS markets to get more benefit.

第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究方法與步驟 5
第四節 研究對象、範圍及資料來源 6
第五節 論文架構 8
第貳章 臺灣現貨、期貨與選擇權市場之概況 9
第一節 臺灣股價指數現貨市場概況 9
第二節 臺灣股價指數期貨市場概況 9
第三節 臺灣股價選擇權市場概況 11
第四節 本章小結 13
第參章 理論基礎與文獻回顧 17
第一節 理論基礎 17
第二節 文獻回顧 28
第三節 本章小結 34
第肆章 相關計量方法 36
第一節 序列穩定性與單根檢定 36
第二節 共整合檢定方法 42
第三節 向量誤差修正模型與因果關係檢定 47
第四節 ARCH 族相關模型及估計與檢定 50
第伍章 實證結果與分析 62
第一節 資料描述 62
第二節 資料處理方法 67
第三節 JOHANSEN 之共整合檢定與向量差修正項 72
第四節 VEC 模型建構之估計與檢定 74
第五節 模型建構與實證結果分析 78
第六節 本章小結 138
第陸章 結論與建議 142
第一節 結論 142
第二節 建議與未來研究方向 145
參考文獻 147

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