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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 謝德宗 | |
| dc.contributor.author | Wei-Chih Lin | en |
| dc.contributor.author | 林威志 | zh_TW |
| dc.date.accessioned | 2021-06-15T01:37:22Z | - |
| dc.date.available | 2016-08-18 | |
| dc.date.copyright | 2011-08-18 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-08-16 | |
| dc.identifier.citation | 中文文獻
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Bera(1987),“A Test for Normality of Observations and Regression Residuals,”International Statistical Review( 1987),5 5, 2, pp.163-172. 8.Chan, K(1992),“A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market,” Review of Financial Studies, Vol.5(1),pp.123-152 9.Christopher A. Sims (1980) “Macroeconomics and reality,” Econometrica Vol. 48, No. 1, pp. 1-48 10.Chu Q. C., W. G. Hsieh and Y. Tse(1999),“Price Discovery on the S&P 500 Index Markets:An Analysis of Spot Index, Index Futures and SPDRs,” International Review of Financial-Analysis, Vol8, pp.21-34 11.Dickey, D. A., and W. A. Fuller, (1979),“Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical ssociation,pp427-481. 12.Engle, R. (1982),“Autoregressive Conditional Heteroskedasticity, with Estimates of the Variance of U.K,” Inflation ,Econometrica, 50,pp. 987-1008. 13.Engle, R. F. and C. W. J. 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J., “Prediction with a generalized cost of error function,” Operations Research Quarterly, 20 (1969), 199–207. 20.Hasbrouck, J.(2002),“Intraday Price Formation in U.S. Equity Index Markets,” The Journal of Finance,pp.1540-1626. 21.I. G. Kawaller, P. D. Koch, and T. W. Koch(1987), “The Temporal Relationship between S&P 500 Futures and S&P 500 Index,” Journal of Finance 42, pp.1309-1329, 1987. 22.Johansen, S. and K. Juselius (1990),“Maximum Likelihood Estimation and Inference on Cointegration with Application to the Oemand for Money,” Oxford Bulletin of Economics and Statistic, Vo1.52, pp.169-209. 23.Kim, M., A. C. Chatrath A., C. David, K.Dhanda and T.Koah (2002).“Index Futures Leadership,Basis Behavior and Trader Selectivity,” The Journal of Futures Market,22,pp.649-677. 24.Kim, M., A. C. Szakmary and T.V. Schwarz(1999),“Tranding Costs and Price Discovery across Stock Index Futures, and Cash Markets,” The Journal of futures Markets,Vol.19,pp475-489. 25.Kim, M. K. and B. E. Ismail (1998)“An accounting analysis of the risk-return relationship in bull and bear markets,” Review of Financial Economics, 7, 173-182. 26.Lee, M. C., Shleifer, A. Thaler,R. H.(1990).“Anamolies:Closed-End Mutual Funds” Journal of Economic Perspectives, Fall, pp . pp.153-164 27.Markowitz (1952),“Portfolio Selection,” Journal of Finance, pp.77-91, 1952. 28.Max Isaacman , (2008)New York , “Investing with intelligent ETFs : strategies for profiting from the new breed of securities” McGraw-Hill, c2008 29.Philips, Peter and Pierre Person (1988), “Testing for a Unit Root in Time Series Regression,” Biometrica 75, pp.335-346. 30.Pizzi, M.A., Economopululous, S.J. , and O’Neill,H.M. (1998)“An Examination of the Relationship between Stock Index Cash and Futures Markets:A cointegration Approach,” The Journal of Futures Markets, 18,pp.297-305. 31.Quentin C. Chu , Wen-liang Gideon Hsieh , Yiuman Tse (1999)“Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs,” International Review of Financial Analysis Volume 8, Issue 1, 1999, Pages 21-34 32.Rahim and Banerjee, (1993). M.A. Rahim and P.K. Banerjee ,“A generalized model for economic design of control charts for production systems with increasing failure rate and early replacement.” Naval Research Logistics 40 (1993), pp. 787–809. 33.Richie, N., Robert, T and Gleason, C. (2008).“The Limits to stock index arbitrage examining S&P 500 futures and SPDRS,” The Journal of Futures Markets, 28(12): pp.1182-1205. 34.Roope, M. and R. Zurbruegg. (2002),“The Intra-day Price Discovery Process between The Singapore exchange and Taiwan Futures Exchange,” The Journal of Futures Markets,22(3),pp.219-240. 35.Said, Said E. and David A. Dickey(1984),“Testing for Unit Roots in Autoregressive-Moving Average Medols with Unknown Order,” Biometrica, Vol, 71,pp.559-607. 36.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,pp.405-420. 37.Soren JOHANSEN (1988) “Statistical analysis of cointegration vectors,” Journal of Economic Dynamics and Control Volume 12, Issues 2-3, June-September 1988, Pages 231-254 38.Stoll, H. R. and R. E. Whaley. (1990),“The Dynamic of Stock Index and Stock Futures Return,’’The Journal of Financial and Quantitative Analysis,”25(4),pp.441-468. 39.Subrahmanyam,A., 1991,“A Theory of Trading in Stock Index Futures,”Review of Financial Studies,4, pp.17-51. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43109 | - |
| dc.description.abstract | 本文係針對寶來台灣卓越50基金及其相關金融商品於2006年1月2日至2009年1月21日期間內，探討多頭和空頭期間不同區間內，寶來台灣卓越50基金和其相關金融商品「領先—落後」關係及相互影響互動關係。本研究利用單根檢定、Chow-Test、共整合檢定、Granger因果檢定、VECM模型、衝擊反應函數和預測誤差變異數拆解等計量方法建立實證模型。實證結果得出以下重要結論如下：
依據Chow-Test得出結果，寶來台灣卓越50基金和其相關金融商具有結構性轉變在多空區間內。而共整合檢定，得出在多頭和空頭期間，寶來台灣卓越50基金、大盤加權指數、指數期貨和台灣50指數四者間存在一組共整合關係，顯示無論在多頭和空頭期間，金融商品和連結指數間具備長期均衡關係，符合單一價格之特性。而失衡時的調整顯示出衍生性商品市場較現貨市場具效率性質，符合過去研究所提出的各種臆說。 VECM模型和Granger因果關係檢定顯示多頭期間內，ETF不具領先關係；而空頭期間，則ETF具有領先關係，推論可能因權值股受政府特定基金護盤和偏重權值股投資等原因造成使一現象。 誤差變異數結果顯示出，多頭和空頭期間具有明顯差異性。多頭期間，指數期貨相較寶來台灣卓越50基金和台灣50指數，可解釋比率較大；而空頭時期，寶來台灣卓越50基金和台灣50指數，解釋能力高於指數期貨，空頭期間可利用ETF具權值股之特性密切和大盤作相關聯結，且金融商品波動較易受其他金融商品所影響，相互影響關係較為密切。 | zh_TW |
| dc.description.abstract | This paper investigates the interaction of ETF (Exchange Traded Funds) and related financial assets in the Bull and Bear markets. In this study, empirical data included Polaris Taiwan Top 50 Tracker Fund, Taiwan stock index, Taiwan stock index futures and Taiwan 50 index from January 2, 2006 to January 21, 2009. The model is derived from the quantitative method such as Unit Root Test, Chow Test, Cointegration Test, Granger causality Test, Vector Error Correction Model, Impulse function and Variance decomposition 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 ETF and related financial assets. This result corresponds to the One of Price Theory. However, derived financial assets could be more efficient than the spot markets. Previous hypotheses could explain this result. The results from Vector Error Correction Model and Granger causality Test show that:(1)ETF exists no significant lead relationship between other financial assets in the Bull market.(2)However, ETF leads other assets in the Bear markets. The features of Power value stock might explain the phenomenon. In the Variance decomposition Model, Taiwan stock index futures has more powerful to explain Taiwan stock index than ETF in Bull market. However, ETF could explain the majority of Taiwan index. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T01:37:22Z (GMT). No. of bitstreams: 1 ntu-100-R98323034-1.pdf: 533337 bytes, checksum: fa8445443970c83da8d8fce72875af2a (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 誌謝 II
中文摘要 III 英文摘要 IV 目次 V 表目錄 VII 圖目錄 IX 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 5 1.3 本文架構 8 第二章 文獻回顧 9 2.1 理論探討 9 2.2 文獻回顧 12 2.2.1 期貨與現貨間的領先、落後及因果關係 12 2.2.2 共整合及長期均衡關係 13 2.2.3 其他相關研究 14 第三章 實證模型建立 15 3.1 資料檢定方法 15 3.1.1 單根檢定方法介紹 16 3.1.2 Chow結構轉變點檢定 17 3.2 共整合關係及檢定 18 3.3 誤差修正模型(VECM) 20 3.4 GRANGER因果關係檢定(GRANGER CAUSALITY TEST) 20 3.5 衝擊反應分析 21 3.6 預測誤差變異數分析 22 第四章 實證結果與分析 23 4.1 敘述檢定與單根檢定 23 4.1.1 資料選取及變數定義 23 4.1.2 基本統計性質 24 4.1.3 單根檢定 26 4.1.4 結構性轉變-Chow Test 30 4.2 共整合檢定 33 4.3 誤差修正模型(VECM) 35 4.4 GRANGER因果關係檢定 39 4.5 衝擊反應函數 42 4.6 預測誤差變異數分析 44 第五章 結論與建議 50 5.1 結論 50 5.2 後續研究建議 52 參考文獻 53 | |
| dc.language.iso | zh-TW | |
| dc.subject | 空頭 | zh_TW |
| dc.subject | 寶來台灣卓越50基金 | zh_TW |
| dc.subject | 領先—落後 | zh_TW |
| dc.subject | 多頭 | zh_TW |
| dc.subject | lead—lag | en |
| dc.subject | Bear market | en |
| dc.subject | Bull market | en |
| dc.subject | ETF | en |
| dc.title | 多空時期ETF及相關金融商品之互動性分析—以寶來台灣卓越50基金為例 | zh_TW |
| dc.title | The Analysis of the Interaction of ETF and related Financial Assets in the Bull and Bear Markets—Polaris Taiwan Top 50 Tracker Fund | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李顯峰,黃淑惠 | |
| dc.subject.keyword | 寶來台灣卓越50基金,領先—落後,多頭,空頭, | zh_TW |
| dc.subject.keyword | ETF,lead—lag,Bull market,Bear market, | en |
| dc.relation.page | 58 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2011-08-16 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| Appears in Collections: | 經濟學系 | |
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