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研究生:劉映興
研究生(外文):Ying-Sing Liu
論文名稱:臺股現貨與期貨之異常現象實證
論文名稱(外文):An Empirical Study of the Anomailies on Taiwan Stock Spot and Futures Markets
指導教授:楊踐為楊踐為引用關係
指導教授(外文):Jack J.W. Yang
學位類別:博士
校院名稱:國立雲林科技大學
系所名稱:管理研究所博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:130
中文關鍵詞:時間變動的資產定價異常現象交易稅股票市場股價指數期貨效率市場假說混合分配假說彈性傅立葉形式
外文關鍵詞:stock marketstock index futuresEMHMDHFFFtransaction taxanomaliestime-varying asset pricing
相關次數:
  • 被引用被引用:6
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  • 下載下載:198
  • 收藏至我的研究室書目清單書目收藏:3
本論文之研製共分為五個議題,其中包含:時間趨勢及季節性、降稅、週轉率、公司規模及帳面價值/市場價值比等效應的相關研究。以台灣期貨市場中的台指期(TX)、電子期(TE)和金融期(TF)近月契約之日與日內5分鐘的交易資料;及股票集中市場的普通股之月交易資料與加權股價指數(TAIEX)之日和月的交易資料為研究對象。同時,期貨市場的研究期間為2002.2.1.至2007.6.31.止,而股票市場則是從1982.6.到2006.2.為止。
在期貨市場驗證部分,係以混合分配假說(mixture of distributions hypothesis; MDH)作為探討價量關係的理論依據,同時運用彈性傅立葉形式(Flexible Fourier Form; FFF)檢定交易量的時間趨勢及季節性,並利用TGARCH-cum-volume模型探討價量關係。其次,又以VAR-cum-FFF模型探討報酬波動與交易量的因果關係,藉此證明報酬波動也會存在時間趨勢及季節性。最後再以FFF,以及報酬波動與交易活動所組成的兩結構方程式,檢定調降期貨交易稅對於報酬波動與交易活動間的影響。結果發現降稅會使期貨的投機性交易活動上升,而期貨的交易活動明顯地與時間趨勢或季節性因素有關。
在股票市場驗證部分,我們分別以傳統的市場模型、時間變動的市場模型及雙元時間變動貝它值之市場模型,檢定週轉率投資組合的系統風險之時間變動性與多空市場月的差異。此外,也以Fama and French (1993)的三因子模型和雙元時間變動的三因子之GARCH模型來探討三因子的貝它值,以檢證其在多頭或空頭月中對於條件市場波動變動的靈敏度(sensitivity)。經實證後發現台股具有週轉率現象、反公司規模及反帳面價值/市場價值比效應等異象(anomailies)。同時,較高週轉率之投資組合的時間變動係數在空頭月中是顯著存在的;而最高週轉率之投資組合的市場貝它值,其在多、空市場月中是存有不對稱性的。最後,也支持三因子的時間變動貝它值是存在的。
This study emphasizes on the effect correlation of five issues: time trend and seasonal effect, transaction tax reduction, turnover rate, firm-size, and book-to-market equity ratio. We will adopt the empirical data of Taiwan futures market covering the recently entered contracts of Taiwan Stock Index futures (TX), Electronic Sector Index futures (TE) and Finance Sector Index futures (TF) from February 1, 2002 to June 31, 2007 by observing the daily and intraday 5-minute interval trading data. Meanwhile, the common stock monthly trading data, TAIEX daily and monthly trading data from Taiwan Stock Exchange Market listed companies, during the period from June of 1982 to February of 2006 are also used.
The mixture of distributions hypothesis (MDH), an important theory in the futures market, was proposed in discussion of the relationship between the futures return volatility and the trading volume. First, we employ the Flexible Fourier Form (FFF) to examine the time trend and seasonal effect of trading volume, and adopts TGARCH-cum-volume model to test the volatility-volume relation. Second, we prove that the return volatility also contains the time trend and seasonal factors. We employ the VAR-cum-FFF model to discuss Granger causality of daily return volatility and trading volume of the index futures at Taiwan futures market. Furthermore, we also apply FFF to the return volatility and volume activity in a bivariate equation structural framework to test the effect of transaction tax reduction for the return volatility and trading activity. Major empirical results indicate that tax reduction has a boosting effect on speculative trading activity, while futures return volatility has a significant correlation to time trend and seasonal factors.
In the stock market, we employ Schwert and Sequin''s (1990) market model and dual time-varying beta market model to test the fact that the systematic risks of long-term turnover-sorted portfolios are non-stationary. We also adopts the Fama and French’s (1993) three-factor model and the dual time-varying beta’s three-factor- GARCH(1,1) model to examine the sensitivity and response orientation of three- factor betas of style portfolios to the sum of intra-monthly conditional market volatility in the bull and bear market months. Major empirical results indicate that there are positive turnover-size effect, reverse firm-size effect and reverse book-to- market effect in Taiwan Stock Market. Furthermore, only the constant market beta of the highest turnover-sorted portfolio appears to be asymmetric in bull and bear market months. The time-varying coefficient of higher turnover-sorted portfolios is significant in bear market months. Further, three-factor’s betas are sensitive to the sum of intra-monthly conditional market volatility, and the time-varying betas can explain part of the average return for most style portfolios, and finally the conditional heteroscedasticity does exist in the residual returns of the model.
目 錄

中文摘要 ------------------------------------------------------------------------------- i
英文摘要 ------------------------------------------------------------------------------- ii
誌謝 ------------------------------------------------------------------------------------- iv
目錄 ------------------------------------------------------------------------------------- v
表目錄 ------------------------------------------------------------------------------------- viii
圖目錄 ------------------------------------------------------------------------------------- x
符號說明 ------------------------------------------------------------------------------- xi
一、 緒論 ----------------------------------------------------------------------------- 1
1.1 研究背景及動機 -------------------------------------------------------------------- 1
1.2 研究目的 ----------------------------------------------------------------------------- 2
1.3 研究內容與架構 -------------------------------------------------------------------- 3
二、 相關理論及文獻探討 -------------------------------------------------------- 7
2.1 資本資產定價模型 ----------------------------------------------------------------- 7
2.2 效率市場假說 ----------------------------------------------------------------------- 9
2.3 混合分配假說 ----------------------------------------------------------------------- 11
2.3.1 Clark的MDH版本 ---------------------------------------------------------- 12
2.3.2 修正版本的MDH ------------------------------------------------------------- 13
2.4 研究證券市場異常現象的文獻 -------------------------------------------------- 14
2.4.1 公司規模效應 ----------------------------------------------------------------- 14
2.4.2 本益比效應 -------------------------------------------------------------------- 16
2.4.3 季節效應 ----------------------------------------------------------------------- 16
2.4.4 價量關係的異常現象 -------------------------------------------------------- 19
2.5 研究交易稅對於報酬波動與交易活動關係的相關文獻 -------------------- 20
三、 研究方法 ----------------------------------------------------------------------- 23
3.1 時間序列的基本檢測 -------------------------------------------------------------- 23
3.1.1 時間序列相關性的檢定 ----------------------------------------------------- 24
3.1.2 時間序列呈常態變動的檢定 ----------------------------------------------- 24
3.1.3 序列恆定的檢測 單根檢定 ----------------------------------------------- 24
3.1.4 序列殘差項異質性的檢測 -------------------------------------------------- 26
3.2 檢定時間趨勢及季節效應 彈性傅立葉形式 -------------------------------- 27
3.3 探討期貨交易量存在時間趨勢及季節性對於價量關係影響的方法 ------- 28
3.4 檢定期貨報酬波動會存在時間趨勢及季節性的方法 ----------------------- 29
3.4.1 VAR-cum-FFF模型 ---------------------------------------------------------- 29
3.4.2 以F分配檢定報酬波動存在時間趨勢及季節性------------------------ 30
3.5 檢定交易稅、時間趨勢及與季節因素對於期貨報酬波動及交易活動關係
的方法 ---------------------------------------------------------------------------------- 31
3.6 檢定股票市場之市場風險在多頭及空頭月中的時間變動性及不對稱性的
方法 ----------------------------------------------------------------------------------- 33
3.6.1 單因子風險的定價模型 ----------------------------------------------------- 34
3.6.2 多因子風險的定價模型 ----------------------------------------------------- 36
四、 資料說明與實證結果分析 -------------------------------------------------- 40
4.1 資料說明 ----------------------------------------------------------------------------- 40
4.1.1 有關期貨市場的驗證資料 -------------------------------------------------- 40
4.1.2 有關股票市場的研究資料 -------------------------------------------------- 45
4.2 期貨交易量存在時間趨勢及季節性對於價量關係的影響 ----------------- 47
4.2.1 概述 ----------------------------------------------------------------------------- 47
4.2.2 實證結果分析及說明 -------------------------------------------------------- 47
4.3 期貨報酬波動存在時間趨勢或季節性 ----------------------------------------- 55
4.3.1 概述 ----------------------------------------------------------------------------- 55
4.3.2 實證結果分析 ----------------------------------------------------------------- 56
4.4 交易稅、時間趨勢和季節性因素對於期貨報酬波動與交易活動關係的
影響 ----------------------------------------------------------------------------------- 62
4.4.1 概述與觀念 -------------------------------------------------------------------- 62
4.4.2 實證結果分析 ----------------------------------------------------------------- 64
4.5 週轉率效應及市場風險在多頭與空頭市場月中的時間變動性與不對稱性-- 81
4.5.1 概述 ----------------------------------------------------------------------------- 81
4.5.2 實證結果分析 ----------------------------------------------------------------- 82
4.6 公司規模效應、帳面價值/市場價值比效應及時間變動的三因子風險 --- 86
4.6.1 概述 ----------------------------------------------------------------------------- 86
4.6.2 實證結果分析 ----------------------------------------------------------------- 87
五、 結論與建議 -------------------------------------------------------------------- 97
5.1 結論 ----------------------------------------------------------------------------------- 97
5.1.1 證明交易量存在時間趨勢及季節性方面的研究結論 ----------------- 97
5.1.2 探討指數期貨波動也會存在時間趨勢或季節性方面的研究結論 -- 98
5.1.3 有關期貨調降交易稅方面的研究結論 ----------------------------------- 99
5.1.4 探討週轉率效應方面的研究結論 ----------------------------------------- 101
5.1.5 有關公司規模與帳面價值/市場價值比效應方面的研究結論 --------- 102
5.2 未來研究方向及建議 -------------------------------------------------------------- 103
參考文獻 ------------------------------------------------------------------------------- 105
作者簡歷 ------------------------------------------------------------------------------- 114


表 目 錄

表1 台指期、電子期和金融期等三種股價指數期貨契約之說明與比較 --------- 42
表2 台指期、電子期和金融期之指數、報酬率與均方報酬波動的敘述統計 --- 48
表3 台指期、電子期和金融期之成交量、未平倉量與成交量/未平倉量的敘述
統計 --------------------------------------------------------------------------------------- 49
表4 台指期、電子期和金融期近月契約之時間序列的單根檢定與序列 (均方)
相關性檢定 ------------------------------------------------------------------------------ 50
表5 TARCH-cum-volume模型的最大概似估計式 ------------------------------------ 51
表6 以彈性複立葉形式的最小平方估計式檢定期貨成交量的時間趨勢及季節效
應 ------------------------------------------------------------------------------------------ 52
表7 將扣抵時間趨勢後的成交量代入TARCH-cum-volume模型後所得的最大概
似估計式 --------------------------------------------------------------------------------- 54
表8 在時間趨勢及季節效應下檢定台灣指數期貨契約的波動與交易量之間配對
的因果關係 ------------------------------------------------------------------------------- 57
表9 以F統計量檢定台指期、電子期和金融期近月契約之每日報酬波動與交易
量序列的時間趨勢或季節因素等構成要素會存在於VAR-cum-FFF模型中- 58
表10台指期、電子期和金融期的VAR-cum-FFF模型估計式 ---------------------- 59
表11台灣股價指數期貨近月契約在2006年1月1日調降期交稅前後各18個
月期間之每日的成交量、未平倉量與投機性交易活動比值的敘述統計及
單根檢定 ------------------------------------------------------------------------------- 65
表12台灣股價指數期貨近月契約在2006年1月1日調降期交稅前後各18
個月期間之日對數報酬及報酬波動的敘述統計及單根檢定 ---------------- 66
表13檢定台灣股價指數期貨近月契約在2006年1月1日調降期交稅前後各
18個月期間之每日的對數報酬、報酬波動及交易活動的差異 ------------ 68
表14檢定交易稅、時間趨勢及季節因素對台灣股價指數期貨近月契約之交易
活動與報酬波動的影響 ------------------------------------------------------------- 70

表15以最小平方法估計台灣股價指數期貨的日內總報酬波動與成交量動態
結構下檢定交易稅、時間趨勢與季節效應 ------------------------------------- 75
表16以最小平方法估計台灣股價指數期貨的日內總報酬波動與投機性交易
活動動態結構下檢定交易稅、時間趨勢與季節效應 ------------------------- 76
表17新加坡摩根台指期近月契約在台灣調降期交稅前後各18個月間之平均
每日的成交量、未平倉量、投機性交易活動、對數報酬及均方報酬波
動 ---------------------------------------------------------------------------------------- 80
表18台灣加權股價指數及以週轉率大小為排序之投資組合的月報酬率之敘
述統計 ---------------------------------------------------------------------------------- 83
表19台灣股票市場以週轉率為排序基礎之投資組合運用市場模型、
Schwert and Seguin的市場模型及雙元的時間變動貝它值之市場模型
估計所得之最小平方估計式 ------------------------------------------------------- 84
表20風格投資組合與台灣股票集中市場之簡單報酬率的敘述統計 ------------ 88
表21台灣股票集中市場之市場投資組合的日報酬率以AR(3)-GJR-
GARCH(1,1)模型估計所得之最大概似估計式 -------------------------------- 90
表22台灣股票集中市場之風格投資組合以Fama and French的三因子模型
估計所得的最小平方估計式 ------------------------------------------------------ 91
表23台灣股票集中市場之風格投資組合以雙元時間變動貝它值三因子之
GARCH(1,1)模型估計所得之最大概似估計式 -------------------------------- 93


圖 目 錄

圖1 研究流程圖 ----------------------------------------------------------------------------- 5
圖2 研究架構圖 ----------------------------------------------------------------------------- 6
圖3 台指期近月契約之原始與平減時間趨勢的成交量及未平倉量的線圖 ----- 53
圖4 台灣期貨市場之股價期貨的月成交量之時間趨勢圖 -------------------------- 63
圖5 台灣期貨市場之股價期貨的月未平倉量之時間趨勢圖 ----------------------- 63
圖6 台灣期貨市場在2006年1月1日調降期交稅前後各18個月期間對整
體股價指數期貨之市場組成結構比例的變化情況 ----------------------------- 78
圖7 台灣期貨市場在2006年1月1日調降期交稅後對股價指數期貨的交易
量與未平倉量增減的比例情況 ----------------------------------------------------- 79
圖8 台灣期貨市場股價指數期貨在2006年1月1日調降期交稅後市場組成
在多空部位的增減比例情況 -------------------------------------------------------- 80
圖9 小公司對大公司之累積報酬圖 ----------------------------------------------------- 89
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