類股指數期貨交易對現貨、台股指數期貨市場之影響

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詹博欽(Bo-Chi Zheng) 查詢紙本館藏

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類股指數期貨交易對現貨、台股指數期貨市場之影響

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摘要(中)

本文第一部份是針對電子類股現貨、金融保險類股現貨、以及台股指數現貨在類股指數期貨上市之後，價格波動性、成交量、以及市場流動性的變化情形。第二部分則是探討電子類股指數期貨與現貨、金融保險類股期貨與現貨、台股指數期貨與電子類股期貨、以及台股指數期貨與金融保險類股指數期貨之間資訊傳遞的情形。共得出以下幾點結論：一、在類股指數期貨交易之後，電子類股現貨是呈現波動性增加的趨勢，而訊息在期貨與現貨之間是有相互傳遞的現象。由此可知，類股指數期貨交易改善了資訊流入現貨市場的速度與品質，導致價格反映合理價位。現貨價格的波動性上升是表現出電子類股現貨反應新訊息的能力提升了。二、金融保險現貨的波動性是有下降的趨勢，而訊息在期貨與現貨之間也是有相互傳遞的現象。因此，可能是類股指數期貨交易之後，並無法改善訊息流入現貨的速度與品質，金融保險類股現貨產生價格連續、資訊反應不足的現象，因而使得現貨價格波動性在類股指數期貨上市之後呈現下降的趨勢。投資人無法透過期貨的價格與期貨所表現出的訊息，來瞭解現貨真實的價格。三、對於期貨與期貨之間的資訊傳遞情形，實證結果得出電子類股指數期貨是比較顯著領先台股指數期貨，而台股指數期貨是領先金融保險類股指數期貨，這是相當合理的現象。因為對於現今台灣股市的情況來說，蔚為投資主流的電子類股總是投資人最先觀察與參考的依據

關鍵字(中)

★ 類股指數期貨
★ 波動性
★ 領先落後
★ 共整合
★ 誤差修正模型
★ 變異數比率分析
★ 價格連續
★ 評價錯誤

關鍵字(英)

★ price volatility
★ variance ratio test
★ pricing error
★ price continuity
★ cointegration test
★ error correction model
★ price discovery
★ information transmission

論文目次

目錄頁次目錄…………………………………………………………………… i表目錄……………………………………………………………………ii第一章緒論…………………………………………………………… 1第一節研究背景與動機………………………………………………1第二節研究目的………………………………………………………4第三節論文架構與研究流程…………………………………………6第二章文獻回顧…………………………………………………………8第一節理論基礎………………………………………………………8第二節期貨與現貨之間的相互關係…………………………………10第三節相關實證研究探討……………………………………………14第三章研究方法與模型…………………………………………………19第一節類股指數期貨對現貨及台股指數的影響……………………19第二節類股指數期貨與現貨、台股指數期貨的互動關係…………23第三節資料來源與處理………………………………………………27第四章實證結果…………………………………………………………28第一節類股指數期貨對現貨及台股指數的影響……………………28第二節類股指數期貨與現貨、台股指數期貨的互動關係…………42第五章結論………………………………………………………………52參考文獻………………………………………………………………54

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指導教授

李志宏(Jie-Haun Lee)

審核日期

2000-6-15

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