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

Title台灣股價指數期貨與現貨互動關係之研究
Creator柳如萍
Liu, Ju-ping
Contributor吳啟銘
柳如萍
Liu Ju-ping
Key Words股價指數期貨
波動性
領先落後關係
Date1998
Date Issued20-Apr-2016 16:46:30 (UTC+8)
Summary　　本研究的重點為研究台灣股價指數期貨與現貨之互動關係，分為兩大課題；課題一為股價指數期貨上市對現貨波動性的影響，分別擷取SIMEX與TAIFEX兩個市場期貨上市前後現貨股價指數之每日收盤價，探討台股指數期貨上市對現貨市場報酬波動性，及現貨報酬波動不對稱反應之影響。課題二為股價指數期貨與現貨間之領先落後關係，以每五分鐘成交價分析TAIFEX台股指數期貨與現貨報酬率之線性Granger因果關係。
參考文獻 一､中文部份
1. 朱浩民(1994)，期貨市場分析，華泰文化事業有限公司。
2. 黃百也(1994)，「股價指數期貨上市對股價波動的影響」，國立台灣大學財物金融學研究所碩士論文。
3. 韓繡如(1996)，「股價指數期貨上市對股市的影響」，國立中興大學企業管理研究所碩士論文。
4. 陳業琇(1996)，「股價指數期貨交易對股票價格波動影響之實證研究」，私立中原大學企業管理研究所碩士 論文。
5. 吳嘉欽(1998)，「股價指數期貨對股票市場波動性的影響」，國立科技大學管理技術研究所資訊管理學程碩 士論文月。
6. 黃玉如(1993)，「股價指數現貨與股價指數期貨兩者關連性之探討－以S&P500指數為例說明」，私立淡 江 大學管理科學研究所碩士論文。
7. 余尚武(1997)，「股價指數期貨之價格發現與領先效果之研究－Nikkei 225指數之實證」，證券市場發展季 刊 第九卷第三期，第29∼62頁。
8. 黃玉娟 徐守德(1997)，「台股指數現貨與期貨市場價格動態關連性之研究」，證券市場發展季刊 第九卷第 三期，第1∼28頁。
9. 賴瑞芬(1997)，「台股指數期貨與現貨日內價格關係之研究」，國立台灣大學財物金融學研究所碩士論文。
10. 李偉銘(1997)，「股價指數期貨與現貨價格之關聯性分析-線性與非線性Granger因果關係檢定」，國立中興 大學經濟學研究所碩士論文。
11. 郭煒翎(1998)，「摩根台灣股價指數期貨與現貨間之領先與落後關係」，國立中正大學企業管理研究所碩士 論文。
12. 易智偉(1998)，「SIMEX摩根台股指數或與現貨間之關聯性研究」，國立中興大學企業管理學研究所碩士論 文。
13. 吳易欣(1998)，「股價指數期貨與現貨之關聯性研究－新加坡摩根台股指數期貨實證分析」，國立政治大學 金融研究所碩士論文。

二､英文部份
1. Antoniou, A., and Holmes, P.(1995), "Futures Trading, Information and Spot Price Volatility: Evidence for the FEST-100 Stock Index Futures Contract Using GARCH", Journal of Banking and Finance, Vol. 19, 117-129
2. Antoniou, A., Holmes, P., and Priestley, R.(1998), "The Effect of Stock Index Future Trading on Stock Index Volatility: an Analysis of the Asymmetric Response of Volatility to News", Journal of Futures Markets, Vol. 18, No. 2, 151-166.
3. Abhyankar, A. H.(1995), "Return and Volatility Dynamics in the Ft-SE 100 Stock Index and Stock Index Futures Markets", Journal of Futures Markets, Vol. 15, No. 4, 457-488.
4. Abhyankar, A. H.(1998), "Linear and Nonlinear Granger Causality: Evidence from the U. K. Stock Index Futures Market", Journal of Futures Markets, Vol. 18, No. 5, 519-540.
5. Box, .G., and J. L., Jenkins (1970), "Time Series Analysis: Forecasting and Control", San Francisco: Holden day.
6. Bollerslev, T.,(1986), "Generalized Autoregressive Conditional Heteroskedasticity" , Journal of Econometrics, Vol. 33, 307-327.
7. Chan, K. (1992), "A Future Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Markets", Review of Financial Studies, Vol. 5, No. 2, 123-152.
8. Dickey, D. A. and W. A. Fuller (1976), "Distribution of Estimators for Autoregressive Time Series with a Unit Root " , Journal of American Statistical Association, Vol. 74, 427-431.
9. Edwards, F. R. (1988a), "Does Futures Trading Increase Stock Market Volatility ?", Financial Analysts Journal ,Vol. 44, No. 1, 63-69.
10. Edwards, F. R. (1988b), "Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures", Journal of Futures Markets, Vol. 8,No. 4, 421-440.
11. Engle R. F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, Vol. 50, 987-1008.
12. Engle, R., and Granger, C. W. J. (1987), "Co-Integration and Error Correction: Representation, Estimation and Testing", Econometrica, Vol. 50, 251-276
13. Fleming, J., Ostdiek, B., and Whaley, R. (1996), "Trading Cost and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets", Journal of Futures Markets, Vol. 16, 353-387.
14. Glosten, L., Jagannathan, R., and Runkle, D. (1989), "Relationship between the Expected Value and the Volatility of the Nominal Excess Return on Stocks", Working Paper, Department of Finance, Columbia University.
15. Ghosh, A. and R.Clayton (1996), "Hedging with international Stock Index Futures: An Intertemporal Error Correction Model", Journal of Futures Markets, Vol. 16, 447-491.
16. Gerety, M. S. and J. H. Mulherin (1991)," Patterns in Intraday Stock Market Volatility, Past and Present", Finance Analysis Journal, Vol. 47, No. 5, 71-79
17. Granger, C. w. J. (1969), "Investigating Causal Relation by Econometric Models and Cross-Spectral methods", Econometrica, Vol. 37, 424-438.
18. Herbest, A., McCormack, J., and West, E. (1987), "Investigation of a Lead-Lag Relationship between Spot Indices and Their Futures Contract", Journal of Futures Markets, Vol. 7, 373-382.
19. Kawaller, I., Koch, P., and Koch, t. (1988), "The Relationship Between the S&P 500 Index and S&P 500 Index Futures Prices", Economic Review, Vol. 73(3), 2-10.
20. Ljung, G. M., and Box, G. E. P. (1978), "On a measure of Lack of Fit in Time Series Models", Biometrica, 297-303.
21. Laatsch, F. E. (1991), " A Note on the Effects of the Initiation of Major Market Index Futures on the Daily Returns of the Component Stock", Journal of Futures Markets, Vol. 11, No. 3, 313-317.
22. Shyy, G., V. Vijayraphavan and B. Quinn (1996), "A Future 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", Journal of Futures Markets, Vol. 16, No. 4, 405-420.
23. Stoll, H. R., and Whaley, R. E. (1990), "The Dynamics of Stock Index and Stock Index Futures Returns", Journal of Financial and Quantitative Analysis, Vol. 25, No.4, 441-468.
24. Subrahmanyam, a. (1991), "A Theory of Trading in Stock Index Futures", Review of financial Studies, Vol. 4, 17-71.
Description碩士
國立政治大學
企業管理學系
86355013
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001336
Typethesis
dc.contributor.advisor 吳啟銘zh_TW
dc.contributor.author (Authors) 柳如萍zh_TW
dc.contributor.author (Authors) Liu Ju-pingen_US
dc.creator (作者) 柳如萍zh_TW
dc.creator (作者) Liu, Ju-pingen_US
dc.date (日期) 1998en_US
dc.date.accessioned 20-Apr-2016 16:46:30 (UTC+8)-
dc.date.available 20-Apr-2016 16:46:30 (UTC+8)-
dc.date.issued (上傳時間) 20-Apr-2016 16:46:30 (UTC+8)-
dc.identifier (Other Identifiers) B2002001336en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85740-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 86355013zh_TW
dc.description.abstract (摘要) 　　本研究的重點為研究台灣股價指數期貨與現貨之互動關係，分為兩大課題；課題一為股價指數期貨上市對現貨波動性的影響，分別擷取SIMEX與TAIFEX兩個市場期貨上市前後現貨股價指數之每日收盤價，探討台股指數期貨上市對現貨市場報酬波動性，及現貨報酬波動不對稱反應之影響。課題二為股價指數期貨與現貨間之領先落後關係，以每五分鐘成交價分析TAIFEX台股指數期貨與現貨報酬率之線性Granger因果關係。zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001336en_US
dc.subject (關鍵詞) 股價指數期貨zh_TW
dc.subject (關鍵詞) 波動性zh_TW
dc.subject (關鍵詞) 領先落後關係zh_TW
dc.title (題名) 台灣股價指數期貨與現貨互動關係之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一､中文部份
1. 朱浩民(1994)，期貨市場分析，華泰文化事業有限公司。
2. 黃百也(1994)，「股價指數期貨上市對股價波動的影響」，國立台灣大學財物金融學研究所碩士論文。
3. 韓繡如(1996)，「股價指數期貨上市對股市的影響」，國立中興大學企業管理研究所碩士論文。
4. 陳業琇(1996)，「股價指數期貨交易對股票價格波動影響之實證研究」，私立中原大學企業管理研究所碩士 論文。
5. 吳嘉欽(1998)，「股價指數期貨對股票市場波動性的影響」，國立科技大學管理技術研究所資訊管理學程碩 士論文月。
6. 黃玉如(1993)，「股價指數現貨與股價指數期貨兩者關連性之探討－以S&P500指數為例說明」，私立淡 江 大學管理科學研究所碩士論文。
7. 余尚武(1997)，「股價指數期貨之價格發現與領先效果之研究－Nikkei 225指數之實證」，證券市場發展季 刊 第九卷第三期，第29∼62頁。
8. 黃玉娟 徐守德(1997)，「台股指數現貨與期貨市場價格動態關連性之研究」，證券市場發展季刊 第九卷第 三期，第1∼28頁。
9. 賴瑞芬(1997)，「台股指數期貨與現貨日內價格關係之研究」，國立台灣大學財物金融學研究所碩士論文。
10. 李偉銘(1997)，「股價指數期貨與現貨價格之關聯性分析-線性與非線性Granger因果關係檢定」，國立中興 大學經濟學研究所碩士論文。
11. 郭煒翎(1998)，「摩根台灣股價指數期貨與現貨間之領先與落後關係」，國立中正大學企業管理研究所碩士 論文。
12. 易智偉(1998)，「SIMEX摩根台股指數或與現貨間之關聯性研究」，國立中興大學企業管理學研究所碩士論 文。
13. 吳易欣(1998)，「股價指數期貨與現貨之關聯性研究－新加坡摩根台股指數期貨實證分析」，國立政治大學 金融研究所碩士論文。

二､英文部份
1. Antoniou, A., and Holmes, P.(1995), "Futures Trading, Information and Spot Price Volatility: Evidence for the FEST-100 Stock Index Futures Contract Using GARCH", Journal of Banking and Finance, Vol. 19, 117-129
2. Antoniou, A., Holmes, P., and Priestley, R.(1998), "The Effect of Stock Index Future Trading on Stock Index Volatility: an Analysis of the Asymmetric Response of Volatility to News", Journal of Futures Markets, Vol. 18, No. 2, 151-166.
3. Abhyankar, A. H.(1995), "Return and Volatility Dynamics in the Ft-SE 100 Stock Index and Stock Index Futures Markets", Journal of Futures Markets, Vol. 15, No. 4, 457-488.
4. Abhyankar, A. H.(1998), "Linear and Nonlinear Granger Causality: Evidence from the U. K. Stock Index Futures Market", Journal of Futures Markets, Vol. 18, No. 5, 519-540.
5. Box, .G., and J. L., Jenkins (1970), "Time Series Analysis: Forecasting and Control", San Francisco: Holden day.
6. Bollerslev, T.,(1986), "Generalized Autoregressive Conditional Heteroskedasticity" , Journal of Econometrics, Vol. 33, 307-327.
7. Chan, K. (1992), "A Future Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Markets", Review of Financial Studies, Vol. 5, No. 2, 123-152.
8. Dickey, D. A. and W. A. Fuller (1976), "Distribution of Estimators for Autoregressive Time Series with a Unit Root " , Journal of American Statistical Association, Vol. 74, 427-431.
9. Edwards, F. R. (1988a), "Does Futures Trading Increase Stock Market Volatility ?", Financial Analysts Journal ,Vol. 44, No. 1, 63-69.
10. Edwards, F. R. (1988b), "Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures", Journal of Futures Markets, Vol. 8,No. 4, 421-440.
11. Engle R. F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, Vol. 50, 987-1008.
12. Engle, R., and Granger, C. W. J. (1987), "Co-Integration and Error Correction: Representation, Estimation and Testing", Econometrica, Vol. 50, 251-276
13. Fleming, J., Ostdiek, B., and Whaley, R. (1996), "Trading Cost and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets", Journal of Futures Markets, Vol. 16, 353-387.
14. Glosten, L., Jagannathan, R., and Runkle, D. (1989), "Relationship between the Expected Value and the Volatility of the Nominal Excess Return on Stocks", Working Paper, Department of Finance, Columbia University.
15. Ghosh, A. and R.Clayton (1996), "Hedging with international Stock Index Futures: An Intertemporal Error Correction Model", Journal of Futures Markets, Vol. 16, 447-491.
16. Gerety, M. S. and J. H. Mulherin (1991)," Patterns in Intraday Stock Market Volatility, Past and Present", Finance Analysis Journal, Vol. 47, No. 5, 71-79
17. Granger, C. w. J. (1969), "Investigating Causal Relation by Econometric Models and Cross-Spectral methods", Econometrica, Vol. 37, 424-438.
18. Herbest, A., McCormack, J., and West, E. (1987), "Investigation of a Lead-Lag Relationship between Spot Indices and Their Futures Contract", Journal of Futures Markets, Vol. 7, 373-382.
19. Kawaller, I., Koch, P., and Koch, t. (1988), "The Relationship Between the S&P 500 Index and S&P 500 Index Futures Prices", Economic Review, Vol. 73(3), 2-10.
20. Ljung, G. M., and Box, G. E. P. (1978), "On a measure of Lack of Fit in Time Series Models", Biometrica, 297-303.
21. Laatsch, F. E. (1991), " A Note on the Effects of the Initiation of Major Market Index Futures on the Daily Returns of the Component Stock", Journal of Futures Markets, Vol. 11, No. 3, 313-317.
22. Shyy, G., V. Vijayraphavan and B. Quinn (1996), "A Future 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", Journal of Futures Markets, Vol. 16, No. 4, 405-420.
23. Stoll, H. R., and Whaley, R. E. (1990), "The Dynamics of Stock Index and Stock Index Futures Returns", Journal of Financial and Quantitative Analysis, Vol. 25, No.4, 441-468.
24. Subrahmanyam, a. (1991), "A Theory of Trading in Stock Index Futures", Review of financial Studies, Vol. 4, 17-71.		zh_TW