臺灣博碩士論文加值系統

臺灣期貨交易所成立時間已超過十年，在這過去的十年中，已順利地推出十四種商品。其中，包含了六種股價指數期貨與四種股價指數選擇權。然而實際成交量主要仍集中在台指期貨與台指選擇權兩項契約，這顯示期交所有部份推出之契約，並未如預期受到市場之青睞。由於新型契約的開發與創新，實為期交所能否繼續成長之重要關鍵。對交易所而言，如果新型期貨契約的失敗，除了影響本身之國際競爭力外，更造成設計出來的期貨，無法發揮其應有之避險經濟功能。根據過去國外之經驗，大約僅三成的新期貨契約上市後是有利可圖的，多數新期貨契約最後都是在交易清淡下黯然結束。
因此本研究特別針對全球前十大及亞洲主要交易所之股價指數契約進行分析，探討影響股價指數契約成功之關鍵因素究竟為何？在諸多影響因素中，找出股價指數契約成功或不成功所應具備之條件或因素，以提供期交所與主管機關作為改進現有商品或未來發展新商品之參考。實證結果發現，不論是國內期交所或海外交易所推出之股價指數型商品，影響其成敗最重要之因素為契約相對於標的現貨市場的位置與替代契約之競爭程度。此外，現貨市場規模也是決定契約成敗的重要因素。就股價指數期貨契約而言，現貨市場波動度與是否有選擇權契約仍是契約成功的一大重要因素。另外，亦發現先行者效果與避險效率對於股價指數契約之交易量皆沒有顯著的影響力，顯示出先行者效果與避險效率並非決定股價指數契約成功的重要因素。

Taiwan Futures Exchange (TAIFEX) had established over ten years and successfully issued 14 kinds of futures and options contracts, including six kinds of stock index futures and four kinds of stock index options. However, the trading volume largely shared by stock index futures and options contracts. Most of the contracts were not popular in the market. Our data shows that only 30% of the futures and option contracts can survive in the markets.
Therefore, this study focuses on the factors that determinate the trading volume of the futures contracts. Our empirical shows that the same location of futures and spot markets, the competitor products, the scale of the spot market, the volatility of the spot market and the existence of option market will affect the trading volume of the futures contracts.

第一章、緒論 1
第二章、文獻回顧與研究假說 4
第一節、成功契約的定義 4
第二節、期貨市場成長所須具備的特徵 6
第三節、影響契約成功與失敗的因素 7
一、現貨商品的特徵 8
二、契約本身的特徵 12
第四節、相關實證文獻 20
第三章、研究方法 22
第一節、樣本選擇與資料來源 22
第二節、研究變數的選取 23
一、現貨市場規模 23
二、現貨市場波動度 24
三、先行者效果 24
四、替代契約的競爭程度 25
五、是否有相關契約可提供價差交易之機會 25
六、交易稅率 26
七、契約的流動性成本 26
八、避險效率 27
九、交易平台 29
十、契約相對於標的現貨市場的位置 29
十一、交易所的相對規模 29
第三節、變數的預期影響 31
第四節、實證模型 31
第五節、計量分析方法 33
一、檢定是否存在共線性 (Multicollinearity) 的問題 33
二、檢定是否存在自我相關 (Serial Correlation) 的問題 34
三、檢定是否存在異質變異 (Heteroskedasticity) 的問題 34
第四章、實證結果與分析 35
第一節、契約特性分析 35
第二節、敘述統計分析 36
第三節、計量問題診斷 43
第四節、實證結果分析 44
第五章、結論與建議 47
參考文獻 49

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