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    Title: 臺灣50指數期貨與基金上市後臺灣期貨與現貨市場之分析
    The Analysis of Taiwan Futures and Spot Markets after Taiwan 50 Futures and Taiwan Top50 Tracker Fund Trading
    Authors: 洪文琪
    Hung, WenChi
    Contributors: 朱美麗
    洪文琪
    Hung, WenChi
    Keywords: 臺灣50指數期貨
    臺灣50指數基金
    指數型基金
    雙變量GARCH模型
    雙變量GARCH-M模型
    一階段估計法
    風險溢酬
    Taiwan 50 Futures
    Taiwan Top50 Tracker Fund
    Exchange Traded Fund
    Bivariate GARCH Model
    Bivariate GARCH-M Model
    One-Pass Method
    risk premium
    Date: 2003
    Issue Date: 2009-09-18 15:54:41 (UTC+8)
    Abstract: 本文係針對臺灣50指數期貨與基金於2003年6月30日上市之後,臺灣期貨及現貨市場報酬率間領先落後關係與波動性的變化來進行探討。研究分為兩部份,第一部份是觀察臺灣50指數期貨與現貨之間的關聯性,並探討臺灣加權股價指數、金融保險類股股價指數及電子類股股價指數期貨與現貨市場間的變化;第二部份是採用可模擬現貨走勢的臺灣50指數基金、國泰金及臺積電的股價來做為現貨的替代變數,觀察其與期貨之間的關連性是否與第一部份的結果類似,若是實證結果極為相同,則相關機構與一般投資人將可運用各期貨與其標的指數中市值最大的股票來進行套利操作。此外,本文在進行模型估計時,首度採用一階段估計法,來聯合估計雙變量GARCH模型中的條件平均數方程式與條件變異數方程式,以避免過去相關文獻將兩條方程式個別估計時所造成的估計誤差。
    實證結果所獲得的重要結論如下:首先,臺灣期貨市場的發展仍未趨成熟,並不具有價格發現的功能,在考慮風險溢酬方面,僅有臺灣50指數期貨與現貨的投資人會在報酬率之外,額外要求用以補償的風險溢酬,再者,臺灣50指數期貨與基金的上市,並沒有對臺灣現有的期貨與現貨市場造成顯著的影響,然而,替代變數並不能完全取代現貨指數,但相較之下,國泰金在臺灣50指數期貨與基金上市之後的那段期間模擬成效最好。
    This paper investigates the change of lead-lag relationship in returns and volatilities in Taiwan futures and spot markets after the introduction of Taiwan 50 Futures and Taiwan Top50 Tracker Fund (TTT) on June 30, 2003. The study divides into two parts. The first part examines the relationship between Taiwan 50 Futures and spot markets, and also discusses the change of Taiwan Stock Exchange Capitalization Weighted Stock Index, Taiwan Stock Exchange Banking and Insurance Sector Index, and Taiwan Stock Exchange Electronic Sector Index in futures and spot markets. Another part uses the stock price of TTT, Cathay Financial Holding Company and Taiwan Semiconductor Manufacturing Company as the substitutive variables of spot index and goes a step further to examine the relationships between them and futures individually. Additionally, this research used One-Pass Method for first time to estimate jointly the conditional mean equation and conditional variance equation of Bivariate GARCH Model to avoid estimating error in previous relative studies with Two-Pass Method.
    The major empirical results are as follows: first, the development of Taiwan futures market is incomplete. The futures market does not play the price discovery role to the spot market. Second, under the consideration of risk premium, only investors in Taiwan 50 Futures and spot markets would ask for compensated risk premium excepting returns. Third, the opening of Taiwan 50 Futures and TTT does not influence significantly Taiwan futures and spot markets. Last but not least, these substitutive variables can not replace spot index perfectly. However, comparing with others, the stock price of Cathay Financial Holding Company is the very model of Taiwan Stock Exchange Banking and Insurance Sector Index after the introduction of Taiwan 50 Futures and TTT.
    Reference: 一、中文部份
    李忠穎 (2002),「台灣現貨與期貨市場價格行為∼小型台指期貨創立之影響」,國立台北大學合作經濟學系碩士論文。
    周雨田、李志宏和巫春洲 (2002),「臺灣期貨對現貨市場的資訊傳遞效果分析」,財務金融學刊,第十卷第二期,頁1-22。
    陳雅慧、譚士屏 (2004),「別當傻瓜投資人:透視共同基金的黑洞」,天下雜誌,292期,頁112-124。
    張瓊嬌、古永嘉 (2003),「台灣股價指數期貨與現貨市場資訊傳遞及價格波動性之研究-雙元EGARCH-X模式與介入模式之應用」,管理評論,第二十二卷第一期,頁53-74。
    黃玉娟、徐守德 (1998),「臺股指數現貨與期貨市場價格動態關聯性之研究」,證券市場發展季刊,第九卷第三期,頁1-27。
    黃聖求 (2001),「臺灣股市報酬與波動性之研究-GQARCH之應用」,國立臺北大學企業管理學系碩士論文。
    詹博欽 (2000),「類股指數期貨交易對現貨及台股指數期貨市場之影響」,國立中央大學財務管理所碩士論文。
    臺灣證券交易所網站 www.tse.com.tw。
    臺灣期貨交易所網站www.taifex.com.tw。
    賴瑞芬 (1996),「台股指數期貨與現貨日內價格關係之研究」,國立台灣大學財務金融所碩士論文。
    鍾惠民、王友珊、鄭婉秀和孫育伯 (2003),「交易成本與期貨價格發現功能探討-期交稅調降之分析」,臺灣期貨市場,第五卷第五期,頁9-23。
    二、英文部份
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    Berndt, E.K., H.B. Hall, R.E. Hall and J.A. Hausman (1974), “Estimation and Inference in non-linear Structural Model,” Annals of Economic and Social Measurement, 4, 653-666.
    Bollerslev, T. (1986), “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31, 307-327.
    Bollerslev, T. (1990), “Modeling the coherence in short-term nominal exchange rates: A multivariate generalized ARCH approach,” Review of Economics and Statistics, 72, 498-505.
    Bollerslev, T., R.Y. Chou, and K.F. Kroner (1992), “ARCH modeling in finance: A review of the theory and empirical evidence,” Journal of Econometrics, 52, 5-59.
    Bollerslev, T., J.M. Wooldridge (1992), “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances,” Econometric Reviews, 11, 143-172.
    Brorsen, B.W. (1991), “Futures Trading, Transaction Costs, and Stock Market Volatility,” The Journal of Futures markets, 11, 2, 153-163.
    Chou, R.Y. (1988), “Volatility persistence and stock valuations: Some empirical evidence using GARCH,” Journal of Applied Econometrics, 3, 279-294.
    Chu, Q.C., W.G. Hsieh, and Y. Tse (1999), ”Price discovery on the S&P500 index markets: An analysis of spot index, index futures, and SPDRs,” International Review of Financial Analysis, 8, 1, 21-34.
    Darrat, A.F. and S. Rahman (1995), “Has Futures Trading Activity Caused Stock Price Volatility,” The Journal of Futures markets, 15, 5, 537-557.
    Engle, R.F. (1982), “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations,” Ecomomica, 50, 987-1007.
    Frino, A., T. Walter, and A. West (2000), “The Lead-Lag Relationship between Equities and Stock Index Futures Markets around Information Releases,” The Journal of Futures Markets, 20, 5, 467-487.
    Grunbichler, A., F.A. Longstaff, and E.S. Schwartz (1994), “Electronic Screen Trading and the Transmission of Information: An Empirical Examination,” Journal of Fianacial Intermediation, 3, 166-187.
    Lee, S.B. and K.Y. Ohk (1992), ”Stock Index Futures Listing and Structural Change in Time-Varying Volatility,” The Journal of Futures Markets, 12, 5, 493-509.
    Maberly, E.D. (1989), “Stock Index Futures and Cash Market Volatility,” Financial Analysis Journal, November-December, 75-77.
    Min, J.H. and M. Najand (1999), ”A Future Investigation of the Lead-Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence from Korea,” The Journal of Futures Markets, 19, 2, 217-232.
    Shyy, G., V. Vijayraghavan, and B. Scott-Quinn (1996), “A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/Ask Quotes: The Case of France,” The Journal of Futures markets, 16, 4, 405-420.
    Tsay R.S. (2002), Analysis of Financial Time Series, John Wiley & Sons, Inc.
    Tse, Y. (1999), “Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets,” The Journal of Futures Markets, 19, 8, 911-930.
    Description: 碩士
    國立政治大學
    經濟研究所
    91258004
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091258004
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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