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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31748

    Title: 臺灣加權指數、臺指期貨與臺灣中型100指數之價格發現與傳遞功能比較
    Other Titles: The price discovery and information transmission among Taiwan stock exchange capitalization weighted stock index (TWSE), TWSE futures index and TWSE Taiwan mid-cap 100 index
    Authors: 楊經仕;Yang, Ching-shih
    Contributors: 淡江大學財務金融學系碩士在職專班
    林允永;Lin, Yun-yung
    Keywords: 價格發現;資訊傳遞;共整合;向量誤差修正模型;Granger 因果關係;變異數分解;衝擊反應分析;price discovery;information transmission;Cointegration;Vector Error Correction Model;Granger Causality test;Variance decomposition;Impulse Response Function
    Date: 2009
    Issue Date: 2010-01-11 01:12:13 (UTC+8)
    Abstract: 台灣期貨交易所自1997年成立以來,指數型商品成交量、未平倉量日漸增加,參與者也日趨多元,2008年甚至已超過以法人為主要交易對象的新加坡交易所(SGX)MSCI台指期貨,可見主管機關對期貨市場深化的努力已受到國外投資機構的認同。而台灣證券交易所自2003年成功推出台灣第一支交易所交易基金(ETF)--台灣卓越50基金之後,於2004年推出另一檔以中型企業為標的的部分集合指數基金—台灣中型100,以呈現台灣證券市場具成長潛力的中型企業績效,並供投資人參與。

    過去文獻多數在探討同一標的指數現貨、期貨、ETF間,或台灣加權指數現貨、期貨與台灣50 ETF間的關係,且多數著重於價格發現研究。由於台灣中型100 ETF交易量尚較清淡,故本研究嘗試加入台灣中型100現貨指數,以2003/05/02-2008/04/30之日資料,探討「台灣加權指數現貨與台指期貨」及「台灣加權指數現貨與台灣中型100指數」及「台指期貨與台灣中型100指數」價格之因果關係及領先與落後關係,利用共整合檢定、向量誤差修正模型(VECM)和Granger因果關係了解其價格之因果關係及長、短期領先--落後關係。此外,透過衝擊反應函數與變異數分解,發現其資訊傳遞的方式。

    Since the establishment of the Taiwan Futures Exchange in 1997, the volume and the open interest of the index futures have increased dramatically, and the participants of the market have also diversified. In 2008, Taiwan Futures Exchange has surpassed Singapore Exchange(SGX) which main players are international financial institutions, and the effort of the authority in internationalization has earned the recognition of foreign investment institutions. After Taiwan Futures Exchange has successfully established the first ETF, the TWSC Taiwan 50 index, in 2003, another ETF, the TWSC Taiwan Mid-Cap 100 index was also established to demonstrate the achievement of the mid-cap corporations in Taiwan, aiming to provide the investor an valuable reference.

    Most study in the pass were emphasized in the relationship between the index, future index and the ETF, or the relationship between Taiwan Stock Exchange Capitalization Weighted Index(TAIEX), index futures and TWSC Taiwan 50 index ETF, which most were emphasized on the price discovery of these product. Due to the reason that the volume of the TWSC Taiwan Mid-Cap 100 index futures was still insignificant, the cash price of the TWSC Taiwan Mid-Cap 100 index was incorporated in this study, date ranging from 2nd May 2003 to 30th April 2008. In this study, we should discuss the price movement relationship of “TAIEX and Taiwan Index Futures”, “TAIEX and TWSC Taiwan Mid-Cap 100 index” and “Taiwan Index Futures and TWSC Taiwan Mid-Cap 100 index”. By using various methods such as Cointegration Test, Vector Error Correction Model(VECM) and Granger Causality, the relationship between each price movements are examinated. Furthermore, by analyzing impulse response function and variance decomposition, the way in which information is conducted is understood.

    It is found in this study, (1)Granger Causality Test, TAIEX has a better response to information than TWSC Taiwan Mid-Cap 100 index. The effectiveness responses of TWSC Taiwan Mid-Cap 100 index and Taiwan Index Futures to the information are less conclusive. As the volume and the liquidity of Taiwan Index Futures increases, it is still uncertain that these indices are performing as effective as the discovery of prices in the market. (2)In the model of Vector Error Correction Model, these three indices were affected by previous 1-2 period of time, indicating data in time series are clustered and asymmetrical. In a shorter time frame, TAIEX is leading Taiwan index futures by 2 periods. No significant result are found comparing TAIEX and TWSC Taiwan Mid-Cap 100 index, and of Taiwan index futures and TWSC Taiwan Mid_Cap 100 index. As for price discovery, the Taiwan index futures did not fully demonstrate the advantages of leverage hypothesis,
    transaction cost hypothesis, trading limitation hypothesis, market information hypothesis, etc. Price are quickly stabilized in a reasonable manner due to arbitrage and liquidity of the market. (3)On predicting impulse response function and variance decomposition, TAIEX is able to explain 90% of the variables, indicating the effect of TAIEX is the primary source in predicting error correction system. The movement of TWSC Taiwan Mid-Cap 100 index have a larger impact on the variables in the system. The underlying companies of TWSC Taiwan Mid-Cap 100 index has smaller capital as well as the liquidity needed, therefore, their prices are able to response to the information much quicker than those with lager capitals in a shorter period of time.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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