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    题名: 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
    贡献者: 杜化宇
    王凱蒂
    Wang, Kai-Ti
    关键词: 期貨
    價格發現
    領先落後
    Futures
    Price Discovery
    Lead-lag
    日期: 2000
    上传时间: 2016-03-31 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
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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