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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36686


    Title: S&P500指數期貨之錯價與交易量之非線性關係─以門檻自我迴歸分析
    The Nonlinear Relation Between S&P500 Index Futures Mispricing and Volume: The Threshold Analysis
    Authors: 陳筱竹
    Chen, Hsiao-Chu
    Contributors: 杜化宇
    Tu, Anthony H.
    陳筱竹
    Chen, Hsiao-Chu
    Keywords: 錯價
    交易量
    門檻自我迴歸
    放空成本
    mispricing
    trading volume
    S&P500
    TAR
    short selling cost
    Date: 2003
    Issue Date: 2009-09-18 19:17:37 (UTC+8)
    Abstract: 本文著重在探討現股放空限制與交易成本對期貨錯價之影響。以門檻自我迴歸與續航門檻自我迴歸模型分析期貨錯價之非線性過程，我們發現錯價有回歸平均(mean reversion)的現象。當期貨錯價為正時(套利策略為買現貨賣期貨)，交易量對錯價影響為負；但若期貨錯價為負(套利策略為賣現貨買期貨)，考慮到昂貴的放空成本(costly short sell hypothesis)，交易量對錯價的影響將是較不明確的。
    This article highlights the impact of short selling restrictions and trading costs on the relation on futures mispricing error. Within threshold autoregression model (TAR) and momentum threshold autoregressive model (M-TAR), the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trading volume and level, mean reversion in mispricing error, and the model which describes mispricing process better. The empirical evidence suggests that trading costs and short selling costs are influential factors for the mispricing behavior. Moreover, the futures trading volume affects mispricing level significantly.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    91357007
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091357007
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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