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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31775

    Title: 股價指數現貨與期貨相對價格行為的探討 : 馬可夫模型的應用
    Other Titles: The relative price between index spot and index futures using ms-ar(1) model
    Authors: 胡緒寧;Hu, Hsu-ning
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang
    Keywords: 馬可夫模型;狀態轉換;相對價格;基差;Markov switching models;Regime switching,;Relative Price;Basis
    Date: 2007
    Issue Date: 2010-01-11 01:15:10 (UTC+8)
    Abstract: 由於國際金融市場的自由化,國際股價指數期貨不斷發展,目前已是金融期貨中發展最快的金融產品。無論是利用股價指數期貨進行避險策略或是指數套利甚至投機操作,都因期貨市場相較於現貨市場的高度流動性及低操作成本,使得避險者與投機者皆偏好在期貨市場進行交易,股價指數期貨因而成為金融市場的參與者良好的風險管理工具。因此,本文以台灣加權股價指數及摩根台股指數為例,深入探討股價現貨與期貨之間的相對價格,及其與報酬率的波動性之間的關係。實證結果發現:(1)兩指數相對價格皆存在著高、低波動狀態的兩狀態馬可夫過程,但出現機率則有差異。(2)台灣市場的相對價格在高波動狀態時多為正價差,而新加坡市場的相對價格在高波動狀態時多為逆價差的情況。(3)兩市場的相對價格狀態持續機率都相當高。(4)在台灣市場方面,期貨報酬率波動性對相對價格的影響為負向,而現貨報酬率波動性對相對價格的影響為正向。而在新加坡市場方面,期貨報酬率波動性對相對價格的影響為正向,而現貨報酬率波動性對相對價格的影響為負向。
    Because of the high liquidity and lower fee, the index futures become the favorable tools for the purpose of hedging, arbitraging and speculating. In this paper, we use the weekly data of spot price and futures price from the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the MSCI Taiwan Index to investigate the behavior of the relative price between the spot and futures. We also check the relationship between the volatility of return of both spot and futures and the relative price. The empirical results indicated that : (1) Both relative price represent high and low volatility state of the Markov process. (2) At high volatility state, the relative price represent more negative effect in the Taiwan market and more positive effect in the Singapore market. (3) The probabilities of state persistence are very high in both markets. (4) The relationship between the volatility of return and the relative price are different in both markets.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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