1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 台股指數期貨價格發現(Price Discovery)之探討－日內與週型態
作者 王凱蒂
Wang, Kai-Ti
貢獻者 杜化宇
王凱蒂
Wang, Kai-Ti
關鍵詞 期貨
價格發現
領先落後
Futures
Price Discovery
Lead-lag
日期 2000
上傳時間 31-Mar-2016 15:33:13 (UTC+8)
摘要 本研究探討台灣加權股價指數以及本土指數期貨間的「價格發現」關係。研究期間乃自民國87年9月1日至88年12月31日止，選取各交易日內期貨與現貨每5分鐘的資料作為觀察值。在研究方法的採用上包括：ADF單根檢定、共整合檢定、錯誤更正模型（ECM）以及衝擊反應分析與變異數分解等。進而，本研究亦依照相同之分析流程，將資料進一步區分為週一至週六等6個交易日，以探討各交易日的結果是否不同。本研究得出以下之結論：
     1. 在ADF單根檢定之下，我們發現不論期貨或現貨，兩數列均為I(1)之數列。
     2. 根據共整合的檢定結果，發現台股指數期貨與現貨間存在「共整合關係」，即兩者存在一長期均衡關係，且此一情形亦適用於所有資料與各交易日。
     3. 將共整合關係考慮進ECM分析中則可發現，對全體資料而言，不論是期貨或現貨，兩者均會對前期均衡誤差作調整，但是期貨的調整速度較現貨為快，也較為顯著。但對於單一交易日而言，可發現不同之結果：期貨仍會往均衡方向作移動，但現貨除星期五外，並沒有往均衡移動之情形。
     4. 在「領先-落後」關係上：就全部資料來看（落後4期），期貨會領先現貨約15分鐘左右，而現貨領先期貨亦為20分鐘，兩者並非單一方向之因果關係。而在週一至週六的結果上，回饋關係亦存在，且領先落後的時間也約為15至20分鐘，唯獨「星期一」期貨似乎未有領先現貨之情形。
     5. 在衝擊反應分析與變異數分解方面，不論期貨或現貨，大部分的波動來源，仍是來自於自身的變異程度。但相對上，期貨對現貨預測誤差變異數的解釋程度會高於現貨對期貨預測誤差變異數的解釋程度。同時，由衝擊反應函數來看，亦可得出相類似的結果：即相對而言，期貨對現貨之衝擊較大，且衝擊時間約為15至20分鐘。
參考文獻 一、 中文部分（依作者筆畫排列）
     1. 吳易欣，股價指數期貨與現貨之關連性研究-新加坡摩根台股指數期貨實証分析，國立政治大學金融研究所碩士論文，民國87年1月。
     2. 賴瑞芬，台股指數現貨與期貨日內價格關係之研究，國立台灣大學財務金融研究所碩士論文，民國86年6月。
     二、 英文部分
     1. Abhyankar, A. (1995): "Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets," The Journal of Futures Markets, 15:457-488.
     2. Chu, Q. C., Hsieh, W. G., and Tse, Y. (1998): "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures and SPDRS," Working paper.
     3. Doldado, J., Jenkinson, T., and Sosvilla-Rivero, S. (1990): "Cointegration and Unit Roots," Journal of Economic Surveys, 4:249-273.
     4. Enders, W., Applied Econometric Time Series, 1995.
     5. Engle, R. F., and Granger, C. W. J. (1987): "Cointegration and Error-Correction: Representation, Estimation, and Testing," Econometrica, 55:251-276.
     6. Engle, R. F., and Yoo, B. S. (1987): "Forecasting and Testing in Co-integrated Systems," Journal of Econometrics, 35:143-159.
     7. Ghosh, A. (1993): "Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices," The Journal of Futures Markets, 13:193-198.
     8. Granger, C. W. J. (1969): "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, 37:424-438.
     9. Granger, C. W. J. (1988): "Some Recent Developments in a Concept of Causality," Econometrica, 39: 199-211.
     10. Herbst, A. F., McCormack, J.P., and West, E. N. (1987): "Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts," The Journal of Futures Markets, 7:373-381.
     11. Iihara, Y., Kato, K., and Tokunaga, T. (1996): "Intraday Return Dynamics between the Cash and the Futures Markets in Japan," The Journal of Futures Markets, 16:147-162.
     12. Johansen, S., and Juselius, K. (1990): "Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money," Oxford Bulletin of Economics and Statistics, 52:169-209.
     13. Kawaller, I. G., Koch, P. D., and Koch, T. W. (1987): "The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index," The Journal of Finance, 42:1309-1329.
     14. Lutkepohl, H., and Reimers, H. (1992): "Impulse Response Analysis of Cointegrated Systems," Journal of Economic Dynamics and Control, 16:53-78.
     15. Min, J. H., and Najand, M. (1999): "A Further Investigation of the Lead-Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence from Korea," The Journal of Futures Markets, 19:217-232.
     16. Osterwald-Lenum, Michael (1992): "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, 54:461-471.
     17. Pizzi, M. A., Economopoulos, A. 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, 18:297-305.
     18. Stoll, H. R., and Whaley, R. E. (1990): "The Dynamics of Stock and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, 25: 441-468.
     19. Tse, Y. K. (1995): "Lead-Lag Relationship between Spot Index and Futures Price of the Nikkei Stock Average," Journal of Forecasting, 14:553-563.
     20. Wahab, M., and Lashgaari, M. (1993): "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach," The Journal of Futures Markets, 13:711-742.
描述 碩士
國立政治大學
財務管理研究所
87357015
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002090
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 王凱蒂zh_TW
dc.contributor.author (Authors) Wang, Kai-Tien_US
dc.creator (作者) 王凱蒂zh_TW
dc.creator (作者) Wang, Kai-Tien_US
dc.date (日期) 2000en_US
dc.date.accessioned 31-Mar-2016 15:33:13 (UTC+8)-
dc.date.available 31-Mar-2016 15:33:13 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2016 15:33:13 (UTC+8)-
dc.identifier (Other Identifiers) A2002002090en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83287-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 87357015zh_TW
dc.description.abstract (摘要) 本研究探討台灣加權股價指數以及本土指數期貨間的「價格發現」關係。研究期間乃自民國87年9月1日至88年12月31日止，選取各交易日內期貨與現貨每5分鐘的資料作為觀察值。在研究方法的採用上包括：ADF單根檢定、共整合檢定、錯誤更正模型（ECM）以及衝擊反應分析與變異數分解等。進而，本研究亦依照相同之分析流程，將資料進一步區分為週一至週六等6個交易日，以探討各交易日的結果是否不同。本研究得出以下之結論：
     1. 在ADF單根檢定之下，我們發現不論期貨或現貨，兩數列均為I(1)之數列。
     2. 根據共整合的檢定結果，發現台股指數期貨與現貨間存在「共整合關係」，即兩者存在一長期均衡關係，且此一情形亦適用於所有資料與各交易日。
     3. 將共整合關係考慮進ECM分析中則可發現，對全體資料而言，不論是期貨或現貨，兩者均會對前期均衡誤差作調整，但是期貨的調整速度較現貨為快，也較為顯著。但對於單一交易日而言，可發現不同之結果：期貨仍會往均衡方向作移動，但現貨除星期五外，並沒有往均衡移動之情形。
     4. 在「領先-落後」關係上：就全部資料來看（落後4期），期貨會領先現貨約15分鐘左右，而現貨領先期貨亦為20分鐘，兩者並非單一方向之因果關係。而在週一至週六的結果上，回饋關係亦存在，且領先落後的時間也約為15至20分鐘，唯獨「星期一」期貨似乎未有領先現貨之情形。
     5. 在衝擊反應分析與變異數分解方面，不論期貨或現貨，大部分的波動來源，仍是來自於自身的變異程度。但相對上，期貨對現貨預測誤差變異數的解釋程度會高於現貨對期貨預測誤差變異數的解釋程度。同時，由衝擊反應函數來看，亦可得出相類似的結果：即相對而言，期貨對現貨之衝擊較大，且衝擊時間約為15至20分鐘。		zh_TW
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     表目錄
     圖目錄
     第一章 緒論
     第一節 研究動機與目的
     第二節 研究方法
     第三節 研究架構
     第二章 理論與文獻
     第一節 理論基礎
     第二節 期貨與現貨之領先-落後關係
     第三節 文獻回顧
     第三章 研究方法
     第一節 Granger因果關係之定義
     第二節 Dickey-Fuller單根檢定
     第三節 共整合模型與其檢定方法
     第四節 誤差修正模型與Granger因果關係檢定
     第五節 衝擊反應分析與變異數分解
     第四章 實証結果分析
     第一節 資料選取說明
     第二節 實証結果-全部資料分析
     第三節 實証結果-將資料依週一至週六區分
     第五章 結論與後續研究建議
     第一節 結論
     第二節 研究限制
     第三節 後續研究建議
     參考文獻
     附錄
     附錄一
     附錄二		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002090en_US
dc.subject (關鍵詞) 期貨zh_TW
dc.subject (關鍵詞) 價格發現zh_TW
dc.subject (關鍵詞) 領先落後zh_TW
dc.subject (關鍵詞) Futuresen_US
dc.subject (關鍵詞) Price Discoveryen_US
dc.subject (關鍵詞) Lead-lagen_US
dc.title (題名) 台股指數期貨價格發現(Price Discovery)之探討－日內與週型態zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、 中文部分（依作者筆畫排列）
     1. 吳易欣，股價指數期貨與現貨之關連性研究-新加坡摩根台股指數期貨實証分析，國立政治大學金融研究所碩士論文，民國87年1月。
     2. 賴瑞芬，台股指數現貨與期貨日內價格關係之研究，國立台灣大學財務金融研究所碩士論文，民國86年6月。
     二、 英文部分
     1. Abhyankar, A. (1995): "Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets," The Journal of Futures Markets, 15:457-488.
     2. Chu, Q. C., Hsieh, W. G., and Tse, Y. (1998): "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures and SPDRS," Working paper.
     3. Doldado, J., Jenkinson, T., and Sosvilla-Rivero, S. (1990): "Cointegration and Unit Roots," Journal of Economic Surveys, 4:249-273.
     4. Enders, W., Applied Econometric Time Series, 1995.
     5. Engle, R. F., and Granger, C. W. J. (1987): "Cointegration and Error-Correction: Representation, Estimation, and Testing," Econometrica, 55:251-276.
     6. Engle, R. F., and Yoo, B. S. (1987): "Forecasting and Testing in Co-integrated Systems," Journal of Econometrics, 35:143-159.
     7. Ghosh, A. (1993): "Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices," The Journal of Futures Markets, 13:193-198.
     8. Granger, C. W. J. (1969): "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, 37:424-438.
     9. Granger, C. W. J. (1988): "Some Recent Developments in a Concept of Causality," Econometrica, 39: 199-211.
     10. Herbst, A. F., McCormack, J.P., and West, E. N. (1987): "Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts," The Journal of Futures Markets, 7:373-381.
     11. Iihara, Y., Kato, K., and Tokunaga, T. (1996): "Intraday Return Dynamics between the Cash and the Futures Markets in Japan," The Journal of Futures Markets, 16:147-162.
     12. Johansen, S., and Juselius, K. (1990): "Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money," Oxford Bulletin of Economics and Statistics, 52:169-209.
     13. Kawaller, I. G., Koch, P. D., and Koch, T. W. (1987): "The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index," The Journal of Finance, 42:1309-1329.
     14. Lutkepohl, H., and Reimers, H. (1992): "Impulse Response Analysis of Cointegrated Systems," Journal of Economic Dynamics and Control, 16:53-78.
     15. Min, J. H., and Najand, M. (1999): "A Further Investigation of the Lead-Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence from Korea," The Journal of Futures Markets, 19:217-232.
     16. Osterwald-Lenum, Michael (1992): "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, 54:461-471.
     17. Pizzi, M. A., Economopoulos, A. 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, 18:297-305.
     18. Stoll, H. R., and Whaley, R. E. (1990): "The Dynamics of Stock and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, 25: 441-468.
     19. Tse, Y. K. (1995): "Lead-Lag Relationship between Spot Index and Futures Price of the Nikkei Stock Average," Journal of Forecasting, 14:553-563.
     20. Wahab, M., and Lashgaari, M. (1993): "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach," The Journal of Futures Markets, 13:711-742.		zh_TW