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Title: | 台灣電子類股及金融類股指數現貨與期貨互動性分析 The Analysis of Interaction of the Spot Market and the Future Market for the Taiwan Stock Exchange Electronic and Financial Sector Indexes. |
Authors: | Huang Chih-Yung 黃智勇 |
Advisor: | 謝德宗(Hsieh Der-Tzon) |
Keyword: | 共整合,Granger因果檢定,向量誤差修正模型,雙變量ECM-GARCH-M模型,外溢效果, cointegration,Granger Causality Test,Vector Error Correction Model,VECM-Bi-GARCH-M Model,spillover effect, |
Publication Year : | 2008 |
Degree: | 碩士 |
Abstract: | 本文係針對臺灣電子類股及金融類股指數期貨於1998年7月21日上市之後,類股指數期貨與現貨市場報酬率領先落後關係與波動性的傳遞關係進行探討。本研究利用單根檢定、共整合檢定、Granger因果檢定、向量誤差修正模型及VECM-Bi-GARCH-M模型等計量方法建立實證模型。實證結果所獲得的重要結論如下:
在長期均衡關係方面 ,電子類股現貨指數和電子期貨指數間、金融類股現貨指數和金融期貨指數間均存在長期均衡關係,此一結果和持有成本理論相符。但不同類股指數間,不論現貨市場或期貨市場,則無共整合關係;在失衡的調整方面,當類股現貨和期貨市場出現失衡狀況,期貨市場往長期均衡調整的速度比現貨市場快。此一實證結果和過去的實證結果不同,顯示國內電子類股及金融類股指數期貨市場因交易量日益活絡,期貨和現貨長期均衡價格之調整,己由過去的現貨市場為主轉以期貨市場為主;在因果關係方面,電子類股現貨和期貨存在雙向的同期因果關係,金融類股現貨和期貨則僅有單向因果關係。在報酬率波動傳遞關係方面有三點主要結論:(1)報酬波動的持續效果:各類股現貨及期貨市場,報酬波動皆受到過去所累積之舊訊息的持續影響。(2)報酬波動的叢聚性:現貨與期貨市場中的報酬波動均會受未預期因素的影響,造成波動率有叢聚性。此一叢聚效果電子類股低於金融類股。(3)報酬波動間的外溢效果:期貨市場和現貨市場間存在波動的跨市場外溢效果,前期累積舊資訊造成的外溢效果比未預期衝擊所造成的外溢效果大。 This paper investigates the change of lead-lag relationship and volatilities transmission in returns between futures and spot markets after the introduction of Taiwan Stock Exchange Electronic Sector Index futures and Taiwan Stock Exchange Finance Sector Index futures on July 21,1998.In this study, the empirical model is derived from the quantitative method such as Unit Root Test, Cointegration Test, Granger Causality Test, Vector Error Correction Model and VECM-Bi-GARCH-M Model. Following conclusions can be drawn from this empirical result: In the aspect of the long term equilibrium, there exists the long term equilibrium relationship between the electronic sector index and electronic sector index futures; the finance sector index and the finance sector index futures. This result corresponds to the Cost of Carrying Theory. However, there are no conitegration relationship in-between different sectors either in spot market or in future market. In the aspect of the adjustment toward the equilibrium, when there is basis in the spot market and the future market, the future market adjusts toward the long term equilibrium faster than the spot market. This empirical result is different from the past one, which shows that with the increasing trading volume in the future market, the main and faster adjustment toward the equilibrium price has transferred from the spot market to the future market. In the aspect of the causality, there exist the contemporaneous causal relationship between the electronic sector index and the electronic sector index future. However, there is only unidirectional causal relationship between finance sector index and the finance sector index future. There are three conclusions about the volatilities transmission in returns: (1)The sustainability of the volatilities in returns: In spot and future market, the volatilities in returns is affected sustainedly by the past cumulative information.(2) The volatility clustering in returns: Both volatility in returns of the spot and the future market would be affected by the unexpected factor which cause the volatility clustering. The clustering effect is more remarkable in finance sector than in electronics sector. (3) The spillover effect of the volatility in returns: There exists the spillover effect of the volatility in the future and spot market. The spillover effect cause by in the past cumulative information is greater than the unexpected factor. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/26990 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 經濟學系 |
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