臺灣博碩士論文加值系統

在國際化全球化之投資環境中，投資人可藉由國際股市之動態關聯來作為投資決策的參考，但是早期的相關文獻，大多著重於探討美股前日收盤至當日收盤之隔夜報酬對台股報酬之影響。本研究與早期文獻不同之處在於，本文旨在探討台美股票與期貨市場價格傳遞之動態關聯，並進一步分析價格傳遞效果是否造成台股過度反應現象。本研究分別以美國S&P 500指數現貨、期貨及Nasdaq 100指數現貨、期貨報酬率資料做為『隔夜報酬』，和美股正常交易時間收盤後至台股開盤前之美國mini-S&P 500期貨電子盤、mini-Nasdaq 100期貨電子盤報酬率資料做為『最新報酬』，來搭配台灣加權股價指數現貨報酬率為實證對象，以探討台美股票與期貨市場之價格傳遞效果，並獲得一些與早期文獻具有相當程度差異之實證結果。實證結果發現，美股最新報酬與台股存在當期相關性，亦即投資人可尋求最新資訊以擬補台美股市交易時間不重疊而產生之重大消息所帶來的影響。研究結果並支持過去文獻，認為美股報酬領先台股報酬兩期以上，且以Nasdaq 100與台股之關聯性較為強烈。有異於早期文獻，發現台股當期報酬亦將影響隨後開盤之美股報酬，顯示台股在國際市場地位日益重要。本研究亦進一步嘗試以多變量GJR-GARCH模型來分析各指數報酬波動不對稱性；研究結果顯示，各指數報酬波動有顯著的不對稱性現象，亦即壞消息對本期報酬率所帶來的衝擊比好消息還要大。最後，本研究藉由台美股市價格傳遞以分析台股是否產生過度反應現象；我們認為由於本研究之研究期間處於多頭市場，因此投資人的樂觀主義導致正面事件日有過度反應，而負面事件日則不符合過度反應。

Investment environment in the internationalization and globalization, the investor may the affiliation be connected tendency of by the international stock market takes the investment strategy. The post literatures have focused mainly on the overnight returns of U.S. market reactions to the Taiwan stock market. This study fills the field by examining the information content of initial price transmission on the spot and future market in the U.S. and Taiwan, and further analyzes the price transmission effect whether creates a stock overreaction phenomenon in Taiwan stock market. Using data from the spot and futures of S&P 500 index and Nasdaq 100 index, the stock returns does as “the overnight returns”, mini-S&P 500 and mini-Nasdaq 100 returns does is “the newest returns”. These matches the returns on Taiwan volume weighting index. This study the price transmission and finds quite different results. Our findings the newest stock returns in Taiwan existence works as the time relevance, that is the investor may seek the most recent information of the U.S. stock market to draw up transaction time non-overlapping has the influence which the significant news brings. The findings and the support the literature, thought in the past the U.S. stock returns is in the lead above the Taiwan stock returns two issues, also connection the Taiwan stock is intense by Nasdaq 100. Has is at variance with the early literature, discovers a Taiwan stock when the time returns also will affect afterwards U.S. stock returns the opening price, the display Taiwan stock will be day by day important in the international market status. Furthermore, we attempt to use the multi-variables GJR-GARCH model analyzes various index return volatility asymmetric. Our empirical result shows that various index return volatility has reveals the asymmetric phenomenon, that is the bad news the impact which brings to this issue of reward rate the is good news also to have to be bigger than. Finally, we affiliation analyze price transmission by U.S. and Taiwan stock market to produce overreaction phenomenon in Taiwan stock market. We thought because research of period this research is in bull market, therefore investor''s optimism causes the positive event date to have overreaction, but the negative event date does not this phenomenon.

中文摘要.................................................I
英文摘要.................................................Ⅱ
誌謝.....................................................Ⅲ
目錄.....................................................Ⅳ
表目錄...................................................Ⅵ
圖目錄...................................................Ⅷ
第壹章 導論...........................................1
第一節 研究動機........................................1
第二節 研究目的........................................4
第三節 研究流程........................................5
第四節 研究限制........................................7
第貳章 文獻回顧.......................................9
第一節 行為財務學過度反應理論基礎......................9
第二節 跨國市場傳導效果................................12
第三節 過度反應現象....................................16
第四節 小結............................................20
第參章 研究方法.......................................21
第一節 研究對象........................................21
第二節 跨國市場傳導效果與多變量GJR-GARCH模式...........24
第三節 過度反應與事件研究法............................39
第肆章 實證研究結果...................................42
第一節 台美股市現貨與期貨隔夜報酬之傳導效果............42
第二節 台股現貨與美股期貨最新報酬之傳導效果............56
第三節 短期過度反應....................................67
第伍章 結論與建議.....................................74
第一節 研究結論........................................75
第二節 研究建議........................................77
參考文獻.................................................79

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