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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116924


    Title: 股市基差訊息對現貨報酬之影響:厚尾模型的應用
    Other Titles: The Effects of Basis Information of Stock Market on Spot Market Returns: The Application of Heavy-Tailed Model
    Authors: 黃健銘;張惠雅
    Keywords: 基差訊息;厚尾分配;不對稱效果;Basis information;Heavy-tailed distribution;Asymmetric effects
    Date: 2009-03
    Issue Date: 2019-09-10 12:10:44 (UTC+8)
    Publisher: 財團法人臺灣金融研訓院
    Abstract: 本研究主要探討股市基差訊息對現貨市場報酬的影響,並檢測正逆價差狀態持續下,對股市報酬是否存在不對稱效果。實證樣本選定美國S&P 500指數現貨與期貨市場之日資料,模型採用GARCH模型進行檢測,並導入Politis(2004)所提出之厚尾分配進行模型比較,於模型中更引入長短期公債利差與期貨交易量變數進行實證分析。實證結果顯示厚尾分配模型優於常態分配模型,且基差對現貨報酬具有負向的顯著關聯。當市場持續為逆價差狀態時,對現貨報酬具有顯著的負面衝擊,但正價差狀態則無顯著影響,兩者存在顯著不對稱效果。另一方面,利差變數對股市報酬沒有存在顯著結果,而期貨交易量的變動將提高現貨報酬的波動。因此,當投資人在訂定相關投資策略時,對於不同基差狀態的變化應納入考量,方能降低整體的風險。
    Relation: 台灣金融財務季刊 10(1), p.81-106
    DOI: 10.6985/TBFQ.200903.0081
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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