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| Title: | 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 |
| Authors: | 彭嘉偉
Peng, Jia-Wei |
| Contributors: | 張興華
Chang, Hsing-Hua
彭嘉偉
Peng, Jia-Wei |
| Keywords: | 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 |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:44:53 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
金融學系
109352025 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352025 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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