台灣期貨交易所自2017年5月15日推動盤後交易上線，延長台灣指數期貨的交易時段，俾使交易台指期的投資人能夠即時應對國際股市的變化。過去有許多文獻是針對美國股市對臺灣股市的影響做為探討，由於盤後交易上線後，時段涵蓋了整個美國股市的開收盤期間，本文將以迴歸方程式分析台指期貨日盤報酬率是否受台指期夜盤與美國四大股價指數 (道瓊工業平均指數、那斯達克綜合指數、費城半導體指數與S&P500指數) 之影響，另透過GARCH (1,1)模型，探討當夜盤及美國股市訊息傳遞到日盤時，對日盤市場波動之影響性。 實證結果顯示，當天日盤的報酬受到夜盤報酬、前一期美國四大股價指數之變動率及前一天日盤報酬之影響，而夜盤報酬對日盤報酬為負相關且影響非常顯著，美國四大股價指數的影響反而不顯著，可能是因為自從夜盤交易開始後，台灣期貨市場交易人已在前一天夜盤進行時，即時反應美國市場的新資訊，因此日盤報酬與美國股市之關聯性不顯著。;Since May 15, 2017, the Taiwan Futures Exchange (TAIFEX) has promoted the after-hours trading to go online, extending the trading hours of futures and options products in the TAIFEX, so that traders can respond to changes in the international stock and futures markets immediately. Previous literatures have discussed the impact of the US stock market on the Taiwan stock market. Since the introduction of after-hours trading in the TAIFEX, the trading period overlaps with the entire opening hours of the US stock market. This thesis uses the regression analysis to study whether returns of TAIEX Futures in the day session is related to returns in the after-hours trading session and returns in the four major US stock indexes (including Dow Jones Industrial Average, Nasdaq Composite Index, Philadelphia Semiconductor Index and S&P500 Index). With the GARCH (1,1) model, we explore the impact of the after-hours trading and the US stock markets’ information on the TAIEX Futures returns fluctuations on the TAIFEX. The empirical results show that returns of the TAIEX Futures in the day session is affected by returns in the after-hours trading sessions, the lagged returns of the four US stock indexes and the day-session returns in previous day. We find that the returns of TAIEX futures in after-hours session is significantly negatively related to returns of TAIEX futures in day session. The results imply that, after the trading activities of the after-hours trading is introduced, information in the after-hours trading during 3pm and 5am next morning will be reflected into the open prices of the day-session next morning.
