臺灣博碩士論文加值系統

隨著全球目光聚焦於歐債與美債危機當中，中國正慢慢崛起成為世界經濟強國;但相較其他經濟強國，中國金融市場開放較晚，資訊迅速傳遞與國際國際市場整合能加速經濟成長，但也為今日的金融市場增加更多的不確定性，因此，本文想藉由general modified BEKK模型探討中國滬深指數市場。

本文將滬深指數現期貨日內資料作為研究對象，並納入定性變數(到期日、政府調整、日內效果與換月效果) 。我們利用general modified BEKK模型與其它模型進行比較，提供投資人瞭解新興市場情況，妥善配置並降低風險。實證結果發現，general modified BEKK模型優於其他模型，可幫助流動性交易者(即不具訊息優勢之交易者)降低其持有投資組合的風險。

When the world is concentrating on European debt and American debt, Chinese is slowly rising to become the world's largest Economic Industry; but compare to other leading economic power, Chinese's financial market was opened late. Though rapid information communication and international market integration can speed up Chinese's economic growth, yet, it also signifies the uncertainty in its financial market today. Hence, this study will use general modified BEKK to investigate Chinese's CSI300 market.
These models uses intra data from the CSI300 spot and futures index, and accounting separately for time-maturity, government adjustment, intraday effect and turn of the month effect. We use the general Modified BEKK Model and its internal MODEL to calculate the optimal hedge ratio in order to compare which model is most effective to explain the optimal hedge ratio. Our statistical tests support a conclusion that it can effectively estimate optimal hedge ratio of Chinese's cash and futures prices in time-varying, so can it provide liquidity trader during hedging.

Contents
INTRODUCTION 1
1.1 BACKGROUND 1
1.2 MOTIVATION 2
1.3 PURPOSE 3
1.4 FRAMEWORK 3
LITERATURE REVIEW 5
2.1 INTRODUCTION OF CSI300 INDEX FUTURES CONTRACT 5
2.2 HEDGE RATIO LITERATURE 6
METHODOLOGY 9
3.1 AUGMENTED DICKEY-FULLER TEST 9
3.2 PHILLIPS-PERRON TEST 10
3.3 KPSS TEST 11
3.4 COINTEGRATION TEST 11
3.5 ARCH EFFECT TEST 13
3.6 EMPIRICAL MODEL 14
EMPIRICAL RESEARCH AND ANALYSIS 18
4.1 DESCRIBING INFORMATION 18
4.1.1 DESCRIPTIVE STATISTICS 22
4.2 EMPIRICAL RESULT ANALYSIS 25
4.2.1 UNIT-ROOT TEST 25
4.2.2 COINTEGRATION TEST 27
4.2.3 SERIAL CORRELATION TEST 29
4.2.4 RESULT 30
CONCLUSION 36
REFERENCE 38

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