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題名 賣買權未平倉量比率與美國股市報酬率對隔日台灣加權指數期貨報酬率之影響
The Impact of Put-Call ratios and US Stock Market Returns on the Next Day Taiwan Future Returns作者 彭嘉偉
Peng, Jia-Wei貢獻者 張興華
Chang, Hsing-Hua
彭嘉偉
Peng, Jia-Wei關鍵詞 台指期貨
賣買權未平倉量比
美國股市
EGARCH
TX
Put-call Ratio
US stock market
EGARCH日期 2023 上傳時間 6-Jul-2023 16:44:53 (UTC+8) 摘要 本研究主要想探討我們在生活中於媒體所聽到之盤前訊息，是否真的對我們該日投資有所幫助。本文挑選了前一日的台指選擇權賣買權未平倉量比與前日收盤之美股報酬率變數，以含外生變數偏斜Student-t分配之ARMA(5,5)-EGARCH(1,1)模型對當日台指期貨報酬率進行配適分析。於樣本期間內2007年1月4日至2021年12月30日之日資料顯示，前一日台指選擇權賣買權未平倉量比對當日台指期貨報酬率有顯著正向影響，而對報酬波動度則有顯著負向影響；美股報酬率變數對台指期貨報酬率與其波動度有顯著正向影響。此外，於區分各個盤勢所配適出的EGARCH模型中之章節顯示，上述兩外生變數之符號基本相同，然於各盤勢中兩變數對台指期貨報酬率所影響之規模則有所不同；同時，該章節也顯示了，不對稱係數在不同盤勢下有不同的正負號結果。總之，本文闡述了如何利用前一日賣買權未平倉量比與美股報酬率變數來預測當日之台指期貨報酬率，惟希望可作為讀者於投資上的一個參考。
This article will show us if we hear pre-market information about stock market via media before the opening,that will help us invest in stocks or not.We will use the yesterday ‘s Taiwan market Put-call Ratio open interest and the yesterday ‘s US stock return variable including the skewed Student-t ARMA(5,5)-EGARCH(1,1) model with exogenous variables in order to analyze Today`s Taiwan Index Futures Return fitting.The research from January 4th 2007 to December 30th shows that the yesterday ‘s Put-call Ratio open interest have significantly positive influence on Today`s Taiwan Index Futures Return but it has negative influence on return volatility; Moreover, the US stock return variable have significantly positive influence on Taiwan Index Futures Return.At various market trend,We can find that two exogenous variables at EGARCH model which we mentioned above have different scale on Taiwan Index Futures Return. At the same time, this chapter will show you the asymmetric coefficients have different positive and negative sign results under different market trend.Finally, the research will show how we use the yesterday‘s Taiwan market Put-call Ratio open interest and US stock return to predict Today`s Taiwan Index Futures Return for the readers that can take as reference in investment.參考文獻 林佳陵(2003)。情緒指標在期貨市場的應用--以日經225指數期貨為例。銘傳大學財務金融學系碩士班碩士論文。陳鳳琴(2012)。台灣股匯市與美國股市連動性之再探討。2012年5月第十五卷二期。黃翊綾 (2019)。三大法人買賣超、未平倉量與賣買權比率對台指現貨與期貨之影響與關聯性分析。國立屏東大學財務金融學系碩士班碩士論文。楊美霞(2019)。台灣加權股價指數與美國三大股價指數關聯性之研究。嶺東科技大學財務金融系碩士班碩士論文。廖國源(2002)。台灣與美國股市動態關聯性之傳遞效果研究。國立高雄第一科技大學財務管理碩士班碩士論文。蔡宇倫(2016)。金融海嘯前後對美國與亞太指數連動性影響探討。國立交通大學經營管理研究所碩士論文。蔡坤助(2005)。台灣股、匯市與美國股市之連動關係：三元GJRGARCH-X之應用。義守大學財務金融學系碩士班碩士論文。薛舜仁、呂書屏、曹耀鈞(2017)。投資人情緒變數與台灣期貨指數操作策略。正修學報，30，53-68。Akaike, H. (1973). Information Theory and an Extension of the Maximum Likelihood Principle. In: Petrov, B.N. and Csaki, F., Eds., International Symposium on Information Theory, 267-281.Andy Fodor,Kevin Krieger,James Doran(2010). Do option open-interest changes foreshadow future equity returns? Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 265-280, 2011.Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics, 31, 307-327.Box, G.E.P. and Jenkins, G.M. (1970). Time Series Analysis: Forecasting and Control.Holden-Day,San Francisco.Dickey, D.A. and Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association,74(366),427-431.Engle, R.F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1008.Gang Jianhua,Huang Nan,Song Ke,Zhang Ruyi(2020). Index volatility and the put-call ratio: a tale of three markets.Quantitative Finance, Volume 20,Issue 12 (2020),1983-1996.Glosten, L.R., Jagannathan, R. and Runkle, D.E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.Hansen, B.E. (1994). Autoregressive Conditional Density Estimation. International Economic Review, 35(3), 705-730.Hwahsin Cheng ,John L.Glascock(2006). Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US. Review of Pacific Basin Financial Markets and PoliciesVol. 09, No. 02, pp. 297-315.Ljung, G.M. and Box, G.E.P. (1978). On a Measure of Lack of Fit in Time Series Models. Biometrika, 65(2), 297-303.Nelson, D.B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.Phillips, P.C.B. and Perron, P. (1988). Testing for a Unit Root in Time Series Regression.Biometrika, 75(2), 335-346.Said, S.E. and Dickey, D.A. (1984). Testing for Unit Roots in Autoregressive-Moving.Average Models of Unknown Order. Biometrika,71(3), 599-607.Schwarz, G. (1978). Estimating the Dimension of a Model. Annals of Statistics, 6, 461-464. 描述 碩士
國立政治大學
金融學系
109352025資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352025 資料類型 thesis dc.contributor.advisor 張興華 zh_TW dc.contributor.advisor Chang, Hsing-Hua en_US dc.contributor.author (Authors) 彭嘉偉 zh_TW dc.contributor.author (Authors) Peng, Jia-Wei en_US dc.creator (作者) 彭嘉偉 zh_TW dc.creator (作者) Peng, Jia-Wei en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:44:53 (UTC+8) - dc.date.available 6-Jul-2023 16:44:53 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:44:53 (UTC+8) - dc.identifier (Other Identifiers) G0109352025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145851 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 109352025 zh_TW dc.description.abstract (摘要) 本研究主要想探討我們在生活中於媒體所聽到之盤前訊息，是否真的對我們該日投資有所幫助。本文挑選了前一日的台指選擇權賣買權未平倉量比與前日收盤之美股報酬率變數，以含外生變數偏斜Student-t分配之ARMA(5,5)-EGARCH(1,1)模型對當日台指期貨報酬率進行配適分析。於樣本期間內2007年1月4日至2021年12月30日之日資料顯示，前一日台指選擇權賣買權未平倉量比對當日台指期貨報酬率有顯著正向影響，而對報酬波動度則有顯著負向影響；美股報酬率變數對台指期貨報酬率與其波動度有顯著正向影響。此外，於區分各個盤勢所配適出的EGARCH模型中之章節顯示，上述兩外生變數之符號基本相同，然於各盤勢中兩變數對台指期貨報酬率所影響之規模則有所不同；同時，該章節也顯示了，不對稱係數在不同盤勢下有不同的正負號結果。總之，本文闡述了如何利用前一日賣買權未平倉量比與美股報酬率變數來預測當日之台指期貨報酬率，惟希望可作為讀者於投資上的一個參考。 zh_TW dc.description.abstract (摘要) This article will show us if we hear pre-market information about stock market via media before the opening,that will help us invest in stocks or not.We will use the yesterday ‘s Taiwan market Put-call Ratio open interest and the yesterday ‘s US stock return variable including the skewed Student-t ARMA(5,5)-EGARCH(1,1) model with exogenous variables in order to analyze Today`s Taiwan Index Futures Return fitting.The research from January 4th 2007 to December 30th shows that the yesterday ‘s Put-call Ratio open interest have significantly positive influence on Today`s Taiwan Index Futures Return but it has negative influence on return volatility; Moreover, the US stock return variable have significantly positive influence on Taiwan Index Futures Return.At various market trend,We can find that two exogenous variables at EGARCH model which we mentioned above have different scale on Taiwan Index Futures Return. At the same time, this chapter will show you the asymmetric coefficients have different positive and negative sign results under different market trend.Finally, the research will show how we use the yesterday‘s Taiwan market Put-call Ratio open interest and US stock return to predict Today`s Taiwan Index Futures Return for the readers that can take as reference in investment. en_US dc.description.tableofcontents 第壹章 緒論 8第貳章 文獻探討 10第一節 賣買權未平倉量比率相關文獻 10第二節 美國股市相關文獻 11第參章 研究方法 13第一節 研究期間及資料來源 13第二節 變數處理 13第三節 單根檢定 14第四節 相關係數檢定 15第五節 自我相關及異質性檢定 16第六節 模型設定 16第七節 模型診斷 21第八節 完整模型設定 21第肆章 實證結果 22第一節 敘述統計 22第二節 單根檢定 23第三節 相關係數檢定 24第四節 自我相關及異質性檢定 25第五節 ARMA定階與模型設定 26第六節 非對稱模型配適結果 31第七節 模型診斷 36第伍章 模型估計結果再探討 39第一節 外生變數對模型估計之影響 39第二節 標的趨勢對模型估計之影響 42第陸章 結論 45參考文獻 46 zh_TW dc.format.extent 2297010 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352025 en_US dc.subject (關鍵詞) 台指期貨 zh_TW dc.subject (關鍵詞) 賣買權未平倉量比 zh_TW dc.subject (關鍵詞) 美國股市 zh_TW dc.subject (關鍵詞) EGARCH zh_TW dc.subject (關鍵詞) TX en_US dc.subject (關鍵詞) Put-call Ratio en_US dc.subject (關鍵詞) US stock market en_US dc.subject (關鍵詞) EGARCH en_US dc.title (題名) 賣買權未平倉量比率與美國股市報酬率對隔日台灣加權指數期貨報酬率之影響 zh_TW dc.title (題名) The Impact of Put-Call ratios and US Stock Market Returns on the Next Day Taiwan Future Returns en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 林佳陵(2003)。情緒指標在期貨市場的應用--以日經225指數期貨為例。銘傳大學財務金融學系碩士班碩士論文。陳鳳琴(2012)。台灣股匯市與美國股市連動性之再探討。2012年5月第十五卷二期。黃翊綾 (2019)。三大法人買賣超、未平倉量與賣買權比率對台指現貨與期貨之影響與關聯性分析。國立屏東大學財務金融學系碩士班碩士論文。楊美霞(2019)。台灣加權股價指數與美國三大股價指數關聯性之研究。嶺東科技大學財務金融系碩士班碩士論文。廖國源(2002)。台灣與美國股市動態關聯性之傳遞效果研究。國立高雄第一科技大學財務管理碩士班碩士論文。蔡宇倫(2016)。金融海嘯前後對美國與亞太指數連動性影響探討。國立交通大學經營管理研究所碩士論文。蔡坤助(2005)。台灣股、匯市與美國股市之連動關係：三元GJRGARCH-X之應用。義守大學財務金融學系碩士班碩士論文。薛舜仁、呂書屏、曹耀鈞(2017)。投資人情緒變數與台灣期貨指數操作策略。正修學報，30，53-68。Akaike, H. (1973). Information Theory and an Extension of the Maximum Likelihood Principle. In: Petrov, B.N. and Csaki, F., Eds., International Symposium on Information Theory, 267-281.Andy Fodor,Kevin Krieger,James Doran(2010). Do option open-interest changes foreshadow future equity returns? Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 265-280, 2011.Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics, 31, 307-327.Box, G.E.P. and Jenkins, G.M. (1970). Time Series Analysis: Forecasting and Control.Holden-Day,San Francisco.Dickey, D.A. and Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association,74(366),427-431.Engle, R.F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1008.Gang Jianhua,Huang Nan,Song Ke,Zhang Ruyi(2020). Index volatility and the put-call ratio: a tale of three markets.Quantitative Finance, Volume 20,Issue 12 (2020),1983-1996.Glosten, L.R., Jagannathan, R. and Runkle, D.E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.Hansen, B.E. (1994). Autoregressive Conditional Density Estimation. International Economic Review, 35(3), 705-730.Hwahsin Cheng ,John L.Glascock(2006). Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US. Review of Pacific Basin Financial Markets and PoliciesVol. 09, No. 02, pp. 297-315.Ljung, G.M. and Box, G.E.P. (1978). On a Measure of Lack of Fit in Time Series Models. Biometrika, 65(2), 297-303.Nelson, D.B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.Phillips, P.C.B. and Perron, P. (1988). Testing for a Unit Root in Time Series Regression.Biometrika, 75(2), 335-346.Said, S.E. and Dickey, D.A. (1984). Testing for Unit Roots in Autoregressive-Moving.Average Models of Unknown Order. Biometrika,71(3), 599-607.Schwarz, G. (1978). Estimating the Dimension of a Model. Annals of Statistics, 6, 461-464. zh_TW
