本文利用平滑轉換向量差修正模型(Smooth transition vector error-correction model, STVECM)與一般化自我迴歸異質條件變異數模型(Generalized Autoregressive Conditional Heteroskedastic model, GARCH），探討滬深300股價指數與滬深300股價指數期貨價格發現功能及二者間偏離共移均衡時非線性動態調整之交易行為。研究結果概述如下：首先，在滬深300指數現貨和期貨市場間具有價格發現功能。其次，在滬深300指數現貨和期貨存在正反饋效應。最後，滬深300指數現貨和期貨價格的變化係私人信息產生的交易動機所致。本文實證研究凸顯出投資者行為不能僅由單一特定的的交易動機分析。 This study utilizes non-linear smooth transition vector error correction model (STVECM) together with generalized autoregressive conditional heteroskedasticity model (GARCH) and combine investigation of feedback trading with motives of liquidity and private information-driven trading in the same one empirical. The findings are outlined below. First, the price discovery process to take place in both CSI 300 spot and futures markets. Second, we find evidence of positive feedback effects emerge in CSI 300 spot and futures. Finally, we find evidence of the price changes are driven by private information. The empirical evidence reported in this thesis highlights the investors’ motives cannot be identified a single for predominance of a particular motive.
