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研究生:吳昱宏
研究生(外文):Yu-Hong Wu
論文名稱:GARCH模型分析台指期貨到期日小時效應:不同結算制度之比較
論文名稱(外文):A study the Expiration-Day Effect of Taiwan Index Futures when Settlement Rule Changes: Use The GARCH Model
指導教授:蘇恩德蘇恩德引用關係陳和全陳和全引用關係
指導教授(外文):En-Der SuHo-Chyuan Chen
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:風險管理與保險研究所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:59
中文關鍵詞:報酬率到期日效應GARCH波動
外文關鍵詞:expiration day effectGARCHvolatilityreturn
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本研究探討台指期貨(TX)的到期日效應,以台指期貨2008年11月21日結算價改制前後到期日效應的變化。過去多數研究都是探討標資料的特性(例如,均數和變異數的變化)。事實上,以往研究大多數顯示期貨確時存在到期日效應,但模型數據生成過程(Data Generation Process, DGP)處理上有暇疵。期貨資料符合財務時間序列統計資料之特性,故本篇研究使用一般化的自我相關條件異質變異(Generalized Auto Regressive Conditional Heteroskedastic, GARCH)模型來改善這個缺點並解釋到期日效應。研究使用每日與高頻率(每5分鐘)台指期貨資料。
實證後發現(一)到期日報酬率部份,結算制度修正前後每日與每5分鐘資料皆沒有明顯正報酬或負報酬;(二)到期日波動部份,每日資料於結算制度修正前後到期日報酬波動皆顯著,且皆為負向。而每5分鐘高頻率資料發現結算制度修正前到期日報酬波動不顯著,但結算制度修正後到期日報酬波動卻顯著,且為負向。結算制度修正後,到期日波動有明顯的降低。結果而言,結算制度的變更是有利於降低到期日效應。
This paper studies the effect of expiration day of Taiwan Stock Index Futures (TX), the pre-period and the post-period of settlement rule changes at 2008.11.21. In particular, The earlier studies mostly examined significant differences in the statistical properties of asset returns (for instance, mean and variance) during expiration and non-expiration days, but there are some flaws when modelling the data generation process. The data of futures fit the traits of finance time series statistical data, so we propose to address the shortcoming by examining the expiration day effect from a GARCH (Generalized Auto Regressive Conditional Heteroskedastic) framework. We use both daily and high frequency (5 min) data on TX.
The main evidences are:
1. In return: The expiration-day effects did not have any significant positive or
III
negative effect in daily and per 5min data on the pre-period and the post-period of settlement rule changes.
2. In the volatility: The expiration-day effects have significant downward pressure in daily data on the pre-period and the post-period of settlement rule changes; The expiration-day effects did not have significant pressure in high frequency(5 min) data on the pre-period of settlement rule changes, but it has significant downward pressure on the post-period of settlement rule changes. Based on this findings, the volatility is significant lower after settlement rule changes, this explained that the new settlement rule is advantageous in reduces the expiration-day effect.
摘要 ................................................................. I
英文摘要 ............................................................ II
誌謝 ................................................................ IV
目錄 ................................................................. V
圖目錄 ............................................................ VIII
第壹章 緒論 ......................................................... 1
第一節 研究背景 ................................................................................................ 1
第二節 研究動機與目的 .................................................................................... 3
第三節 研究架構與流程 .................................................................................... 4
第?a章 文獻探討 ..................................................... 6
第一節 歷年結算制度介紹 ................................................................................ 6
第二節 到期效應 ................................................................................................ 6
第三節 國外文獻探討 ........................................................................................ 8
第四節 國內相關文獻 ............................................ 12
第參章 研究方法 .................................................... 16
第一節 資料來源與說明 .................................................................................. 16
第二節 實證資料處理 ...................................................................................... 17
第四節 單根檢定 .............................................................................................. 21
第五節 自我相關檢定 ...................................................................................... 23
第六節 ARCH效果檢定 ..................................................................................... 24
第七節 GARCH模型 ......................................................................................... 26
第肆章 實證結果與分析 .............................................. 30
VI
第一節 敘述性統計 .......................................................................................... 30
第二節 單根檢定 .............................................................................................. 33
第三節 自我相關與ARCH效果檢定 ................................................................ 34
第四節 模型實證結果分析 .............................................................................. 35
第伍章 結論與建議 .................................................. 40
第一節 研究結論 .............................................................................................. 40
第二節 後續研究建議 ...................................................................................... 42
參考文獻 ............................................................ 43
附表A 「臺灣證券交易所股價指數選擇權契約交易規則」修正條文對照表 .. 47
一、英文參考文獻
1. Akaike, H., 1973, “Information Theory and an Extension of the Maximun Likelihood Principle,” International Symposium on Information Theory, 267-281.
2. Anderson, R. W. and Danthine, J-P., 1983, “The Time Pattern of Hedging and the Volatility of Futures Prices,” Review of Economic Studies, 50(2), Apr., 1983.
3. Baillie, R. T. and Degennaro, R. P., 1990, “Stock Returns and Volatility,” Journal of Financial and Quantitative Analysis, 25(2), 203-214.
4. Berndt, E. K., Hall, B. H., Hall, R. E. and Hausman, J., 1974, “Estimation and Inference in Nonlinear Structural Models,” Annals of Economic and Social Measurement, 4, 653-665.
5. Bollen, N. P. B. and Whaley, R. E., 1999, “Do Expirations of Hang Seng Index Derivatives Affect Stock Market Volatility?” Pacific-Basin Finance Journal, 7, 453-470.
6. Bollerslev, T. and Wooldrodge, J. M., 1992, “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances,” Econometric Review, 11, 143-172.
7. Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedastic,” Journal of Econometrics, 31, 307-327.
8. Chen,C. and Williams, J., 1994, “Triple-Witching Hour, the Change in Expiration Timing, and Stock Market Reaction,” The Journal of Futures Markets, 14, 275-292.
9. DeJong, D. N., Nankervis, J. C., Savin, N. E. and Whiteman, C. H., 1992, “Integration Versus Trend Stationary in Time Series,” Econometrica, 60(2), 423-433.
10. Dickey, D. A. and Fuller, W. A., 1979, “Distribution of Estimators for Autoregressive Time Series with A Unit Root,” Journal of the American Statistical
Association, 74, 427-431.
11. Engle, R. F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U. K. Inflation,” Econometrica, 50, 987-1008.
12. Feinstein, S. P. and Goetmann, W. N., 1988, “The Effect of the ‘Triple Witching Hour’ on Stock Market Volatility,” Economic Review, 73(5), 2-18.
13. Granger, C. W. J. and Newbold, P., 1974, “Spurious Regressions in Econometrics,” Journal of Econometrics, 2, 111-120.
14. Hancock, G. D., 1993, “Whatever Happened to the Triple Witching Hour?,” Financial Analysis Journal , 1993, 66-72.
15. Herbst, A. F. and Maberly, E. D., 1990, “Stock Index Futures, Expiration Day Volatility, and the ‘Special’ Friday Opening: A Note,” The Journal of Futures Market, 10(3), 323-325.
16. Jarrow, R. A., 1994, “Derivative Security Markets, Market Manipulation, and Option Pricing Theory,” Journal of Financial and Quantitative Analysis, 29, 241-261.
17. Klemkosky, R.C., 1978, “The Impact of Option Expirations on Stock Prices,” Journal of Financial and Quantitative Analysis, 507-518.
18. Kmenta, J., 1986, Elements of Econometrics, New York, Macmillan.
19. Maniar, H. M., Bhatt, R. and Maniyar, D. M., 2009, “Expiration Hour Effect of Futures and Options Markets on Stock Market—A Case Study on NSE (National Stock Exchange of India),” International Review of Economics and Finance, 18(3), 381-391.
20. Nai-Fu, C., Charles, J. and Robert, A. H., 1995, “Stock Volatility and the Levels of The Basis and Open Interest in Futures Contracts,” The Journal of Finance, 50(1), March 1995.
21. Najand, M. and Yung, K., 1991, “A GARCH Examination of The Relationship between Volume and Price Variability in Futures Markets,” Journal of Futures Markets, 11(5), 465-478.
22. Pope, P. F. and Yadav, P. K., 1992, “The Impact of Option Expiration on Underlying Stocks:The UK Evidence,” Journal of Business Finance and Accounting, 19, 329-344.
23. Said, S. and Dickey, D., 1984, “Testing for Unit Roots in Autoregressive-Moving Average Model of Unknown Order,” Biometrika, 71(3), 599-607.
24. Samuelson, P. A., 1965, “Proof that Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review, 6, 41-49.
25. Samuelson, P. A., 1976, “Is Real-World Price a Tale Told by the Idiot of Chance?” Review of Economics and Statistics, 58, 120-123.
26. Schlag, C., 1995, “Expiration Day Effects of Stock Index Derivatives in Germany,” European Financial Management, 1(1), 69-95.
27. Schwarz, G., 1978, “Estimating the Dimension of A Model,” The Annals of Statistics, 6, 461-464.
28. Stoll, H. R. and Whaley, R. E., 1986, “Expiration-Day Effects of Index Options and Futures,” Monograph Series in Finance and Economics, 3, 1–73.
29. Stoll, H. R. and Whaley, R. E., 1987, “Program Trading and Expiration-Day Effects,” Financial Analysts Journal, 43(2), 16-28.
30. Stoll, H. R. and Whaley, R. E., 1990, “Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew,” Journal of business, 63, 165-192.
31. Stoll, H. R. and Whaley, R. E., 1991, “Expiration-Day Effects: What Has Changed?” Financial Analysis Journal, 47(1), 58-72.
32. Stoll, H. R. and Whaley, R. E., 1997, “Expiration-Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures,” Australian Journal of Management, 22(2), 139-164.
33. Vipul, 2005, “Futures and Options Expiration-Day Effects: The Indian Evidence,” The Journal of Futures Markets, 25(11), 1045–1065.
34. Walter and Enders, 2004, Applied Econometric Time Series, 2nd, Wiley.
二、中文文獻方面
1. 于士媛,2003,期貨與選擇權到期效應之研究-以TAIFEX 股價指數期貨及指數選擇權為例,銘傳大學財務金融研究所碩士論文。
2. 吳明修,1999,摩根台股指數期貨到期日效應對股票市場之影響,高雄第一科技大學金融營運所碩士論文。
3. 吳鎮宏,2004,大額委託單對台股指數期貨最後結算價之影響,高雄第一科技大學金融營運所碩士論文。
4. 杜昭儀,2006,指數期貨最後結算方式對於到期效應之影響,國立政治大學金融學系碩士論文。
5. 林世釗,2003,臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究,台北大學企業管理學研究所碩士論文。
6. 洪舜華,2002,摩根臺灣股價期貨指數到期效應對股票市場的影響,台北大學企業管理學研究所碩士論文。
7. 許義忠,2004,結算制度與到期日效應,中央大學財務金融所碩士論文。
8. 陳國民,2004,指數期貨到期日之報酬反轉及波動效果日內效應之研究,淡江大學財務金融學系金融碩士班碩士論文。
9. 陳啟明,2001,期貨結算對權值股之探討與期貨、現貨價格變動率對權值股之影響,淡江大學管理科學所碩士論文。
10. 黃豐南,2006,指數期貨結算日的價格操縱現象:以台灣股價指數期貨和新加坡摩根台指期貨為例,雲林科技大學財務金融系碩士論文。
11. 楊崇均,2007,台灣指數期貨到期日效應之研究,雲林科技大學財務金融系碩士論文。
12. 蔡垂君,2003,台灣股價指數期貨與現貨之實證研究,台北大學企業管理學研究所碩士論文。
13. 闕河士與楊德源,2005,股價指數期貨到期日效應之實證:以台灣股票市場為例,財務金融學刊,第13卷8月,頁71-96。
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