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研究生:游忠儒
研究生(外文):Yu Chung-Ju
論文名稱:台股指數現貨和近月期貨、次近月期貨與選擇權的基差及價差行為之研究
論文名稱(外文):The Movements of Basis and Spreads which are between the TAIEX Spot, the Spot month TAIEX Futures , the next calendar month TAIFX Futures, and the TAIEX Options.
指導教授:古永嘉古永嘉引用關係王祝三王祝三引用關係
口試委員:古永嘉王祝三黃彥聖林美珍鍾惠民李沃牆
口試日期:2013-06-05
學位類別:博士
校院名稱:國立臺北大學
系所名稱:企業管理學系
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:2013
畢業學年度:101
語文別:中文
論文頁數:61
中文關鍵詞:基差價差ANST-GARCHPut-Call Parity指數選擇權
外文關鍵詞:basisspreadANST-GARCHPut-Call Paritythe next calendar month contrast
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一、研究目的
以往文獻集中在期貨與現貨的基差行為,本研究以台灣市場為例,研究「臺灣證券交易所發行量加權股價指數」及其衍生性金融商品,包括:臺股指數近月期貨、臺股指數次近月期貨、臺股指數選擇權(以Put-call Parity導出隱含現貨價格),討論四個金融商品的基差、價差變動行為。相較於過去研究,本研究增加了台股指數選擇權市場的隱含現貨價格及台股指數次近月期貨,延伸了以往集中基差(現貨與期貨之間)行為的探討。
二、文獻
本研究整理文獻包括:期貨定價相關理論、選擇權之買權賣權平價關係、基差行為的研究;佐以過去文獻對基差研究的基礎出發,探討價差行為與基差行為的異同。文獻上對於基差行為描述,變動過程中具有非線性特質、受到前期不同方向影響會呈現不對稱反應、條件變異數、波動不對稱等特質。
三、研究方法
以往多以基差自身影響做為研究,本研究參考過去文獻,採用ANST-GARCH模型,以實證基差、價差行為是否符合文獻之描述;另外,本研究採用三元ANST-GARCH模型,透過基差、價差間互動的情況,除了瞭解其自身前期影響外,尚觀察基差、價差間是否存在互動行為。
四、實證結果
在ANST-GARCH模型及三元ANST-GARCH模型實證結果,顯示:1.基差、價差變動行為具有非線性特質;2.基差、價差受到前期不同方向的影響時,將呈現不同的反應;3.基差、價差變動過程中具有條件變異數特性;4.基差、價差變動過程中,呈現波動不對稱現象。
五、結論
本研究透過台股指數現貨、台股指數近月期貨、台股指數次近月期貨、台股指數選擇權隱含現貨價格四個原始標的,探討存在其間的六組基差、價差行為,進行實證;在基差行為結果符合過去文獻所描述之特質,在價差行為亦呈現與基差有類似特質。
從三元ANST-GARCH實證結果中,發現部分基差、價差間存在均數蔓延效果及波動外溢效果,為本研究之發現,提供後續研究參考。

The research focuses the movements of the basis and spreads which are between the TAIFEX spot, the Spot month TAIEX Futures, the next calendar month TAIEX Futures, and the TAIEX Options. Many past literatures mainly focused on the basis between spot and futures. There are few studies about the spreads. This study focuses on the movements of the spreads, especial about the index options market. The study uses the Put-Call Parity to calculate the price of the spot form the options. The other focus of the study is care about the next calendar month contrasts of the futures. This study uses ANST-GARCH model for empirical estimation. The research findings are summarized as follows: 1.A11 movement of basis and spreads are non-liner. 2. A11 movements of basis and spreads have different effects when the last movement had different direct. 3. All movements of basis and spreads are conditional heteroscedasticity. 4. The volatilities of the movements are asymmetric.
目 錄
謝詞 I
中文摘要 II
英文摘要 III
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究限制 5
第四節 論文架構 6
第二章 理論與文獻探討 7
第一節 期貨定價理論 7
第二節 選擇權定價模式 10
第三節 基差變動行為的研究 13
第四節 文獻評論 16
第五節 研究假說 16
第三章 研究方法 18
第一節 研究對象與範圍 18
第二節 實證流程 19
第三節 實證模式 19
第四章 實證結果分析 31
第一節 原始資料分析 31
第二節 研究對象資料檢定 33
第三節 實證模型結果 38
第五章 結論與貢獻 47
第一節 結論與後續研究建議 47
第二節 貢獻 48
參考文獻 50
著作權聲明 56

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盧智強、古永嘉(2005)。台股報酬率不對稱均值反轉型態與反向投資之研究。輔仁管理評論,12(2),67-98。
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