臺灣博碩士論文加值系統

本文應用加權價格貢獻法和GARCH模型探討當期貨與現貨市場交易時間不一致下，期貨延長交易期間的價格變動能否反應隱含的訊息，並對現貨市場的價格有所影響。

實證發現，資訊交易者偏好於現貨市場開盤前進行交易，流動性交易者則多在現貨市場收盤後進行交易；期貨市場延長交易期間中未預期到的報酬與期貨隔夜報酬會出現價格反轉，但對現貨隔夜報酬並無價格反轉現象產生。

此外，期貨盤後交易期間的報酬干擾項對現貨市場報酬會持續影響15 分鐘，而期貨隔夜報酬及期貨提早交易期間報酬的干擾項則是直到現貨收盤為止都具有影響力，研究結果支持期貨延長交易時段存在資訊內涵，因此觀察延長交易時段之價格的變化對於預測下一個交易日的現貨市場價格有正面的貢獻。

This thesis is using GARCH model and Weighted Price Contribution to examine the price discovery of the extended trading sessions in the index futures market.

The empirical results show that：
(1) liquidity traders are prevalent during the post-close session, but informed traders are widespread during the pre-open session and generate more price discovery. (2)The liquidity-driven trading may cause a reversal between the closing return and the next day''s overnight return in the futures market, but the price reversal do not exist between the closing return of futures market and the next day''s overnight spot return. (3) Moreover, the relation between futures return innovations and subsequent regular hour spot returns are positive and significant, the effect of the futures return innovations during the post-close sessions would quickly fade out, but the futures return innovations from the overnight and pre-open sessions have a persistent effect on spot returns over the subsequent trading day.

Thus the extended trading sessions of the index futures market indeed contain the hidden information and it helps to predict the next trading day’s spot returns.

謝 辭.......................................................................................... I
摘 要.......................................................................................... II
目 錄.......................................................................................... IV
表目錄........................................................................................ V
圖目錄......................................................................................... VI

第一章 緒論................................................................................ 1
第一節 研究背景及動機................................................................ 1
第二節 研究目的.......................................................................... 5
第三節 研究架構........................................................................... 8
第四節 研究流程.......................................................................... 9
第二章 相關理論與文獻探討......................................................... 10
第一節 價格與資訊內涵之關係..................................................... 10
第二節 資訊效果理論(Information Effect Theory)............................ 11
第三節 市場收盤理論(Market Closure Theory ).............................. 18
第四節 期貨與現貨市場交易時間不一致........................................ 20
第五節 價格反轉(Price Reversal).................................................. 23
第三章 研究方法......................................................................... 25
第一節 資料來源........................................................................ 25
第二節 實證資料處理................................................................. 28
第三節 加權價格貢獻法(Weighted Price Contribution；WPC)......... 29
第四節 GARCH模型................................................................... 30
第五節 研究假說與模型建立........................................................ 33
第四章 實證結果與分析............................................................... 41
第一節 樣本資料敘述統計............................................................ 41
第二節 加權價格貢獻法之分析..................................................... 42
第三節 期貨市場延長交易區間內的資訊隱含................................. 44
第四節 期貨與現貨市場交易時間不一致下的資訊隱含.................... 51
第五章 結論與研究建議.............................................................. 58
第一節 結論............................................................................... 58
第二節 研究建議........................................................................ 60
第三節 研究貢獻......................................................................... 60
參考文獻................................................................................... 61
中文部份................................................................................... 61
英文部份................................................................................... 61


表目錄
【表1-1】各國主要股票與衍生性商品交易所之交易時間不一致的情況............ 4
【表3-1】資料型態示意表......................................................................... 26
【表4-1】基本敘述統計............................................................................ 42
【表4-2】期貨市場各個區間下的加權價格貢獻........................................... 44
【表4-3】GARCH(1,1)模型對期貨市場盤後延長15分鐘的報酬(FCLOSE)
之參數估計............................................................................................. 45
【表4-4】GARCH(1,1)模型對期貨市場隔夜報酬(FOVER)之參數估計............ 47
【表4-5】GARCH(1,1)模型對期貨於現貨市場未開盤前提早交易15分鐘的
報酬(FOPEN)之參數估計......................................................................... 48
【表4-6】GARCH(1,1)模型對期貨較現貨市場提早交易15分鐘的報酬
(FOPEN)之參數估計................................................................................ 50
【表4-7】 GARCH(1,1)模型對現貨市場隔夜報酬(SOVER)之參數估計........... 52
【表4-8】GARCH(1,1)模型對現貨市場交易期間報酬(STRADE)之參數估計.....54
【表4-9】GARCH(1,1)模型對不同區間間隔下之現貨市場交易期間報酬
(STRADE)之參數估計............................................................................. 55



圖目錄
【圖1-1】台灣期貨與現貨市場交易時間的新舊制度比較............................... 3
【圖1-2】本研究之研究流程...................................................................... 9
【圖3-1】台股現貨與期貨每日交易時間的區間報酬圖.................................. 28

參考文獻

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王彥茸 (2000)，台灣實施隔週休二日制度對股市報酬率之影響，國立中央大學企業管理研究所碩士論文。

林秉蓉 (2002)，週休二日暨延長股市交易時間對台灣股市之影響，國立中山大學財務管理研究所碩士論文。

林靜怡 (1999），交易與非交易期間股價報酬波動性之研究，淡江大學財務金融研究所碩士論文。

范喻茹 (2004)，延長交易時間對台灣股市之日內影響，國立中央大學財務金融研究所碩士論文。

馬黛、廖怡玲 (2000)，「交易時間、交易行為與股市績效：台灣股市隔週休二日之實證」，中國財務學刊，第8卷第3期 ，第79-105頁。

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