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    Title: 台股期貨與現貨之價格關聯性分析 : 非線性門檻模型之應用
    Other Titles: The price correlation between indexes and index futures : application of the nonlinear threshold model
    臺股期貨與現貨之價格關聯性分析 : 非線性門檻模型之應用
    Authors: 洪玉娟;Hong, Yu-chane
    Contributors: 淡江大學經濟學系碩士班
    萬哲鈺;Wan, Jer-yuh
    Keywords: 價格發現;門檻誤差修正模型;非線性;Price Discovery;Threshold Error-Correction Model;Nonlinear
    Date: 2006
    Issue Date: 2010-01-11 02:10:30 (UTC+8)
    Abstract: 由於傳統線性之共整合分析並無法描述股價指數期貨與現貨兩者間不對稱之非線性調整過程,藉由門檻模型來加以分析較為恰當。因此本研究目的在於運用門檻誤差修正模型,加以分析股價指數期貨與現貨間之關聯性,此即與以往研究較於不同之處。本研究針對台灣加權股價指數現貨與期貨、電子類股價指數現貨與期貨、金融保險類股價指數期貨之日內每分鐘資料為研究對象。樣本期間選用上半年度與下半年度之樣本資料作分析比較,分別為民國九十三年五月二十日至六月十六日、民國九十三年十一月十八日至十二月十五日。實證結果如下:
    1.在門檻誤差修正模型方面,三區間門檻模型中,本研究之各類指數現貨皆要比指數期貨平均而言要具顯著性,且不同區間之長短期動態調整有不同之結果產生,而無套利區間之係數平均而言的確比其它區間之係數來得較小些。
    2.本研究與葉至浩(2004)相比較之結果,本研究是較其結果詳細,而因為理論依據與時間點的選擇不同,因此結果並無法去區分兩者之好壞,兩者的研結果即發現貨與期貨之間並不存在單一的領先落後關係,而是互有領先落後的情形。
    3.本研究五區間門檻模型與Martens,Kofman and Vorst(1998)之結果大致上相同,在無套利區間之係數皆小於外部區間之係數,因此也顯示出無套利區間之存在性。本研究結果與Martens,Kofman and Vorst(1998)之門檻誤差修正項估計結果皆是指數現貨較指數期貨價格來得較具顯著性且現貨之係數大致上皆大於期貨,而期貨的誤差修正項也具弱外生性,表示期貨有價格發現功能期貨基於己知資訊,提供目前與未來現貨價格訊息之能力。而在短期動態關係上,現貨與期貨兩者相互受到本身與對方落後期數之影響,因此,期貨與現貨存在不同的價格發現功能。
    In the paper the cost-of-carry model for futures contracts on the Taiwan Stock Exchange index is examined. In the investigation intraday one-minute data are used. Unlike previous studies based on linear VCEM or VAR models, we employ a multivariate TAR model based on Tsay(1998)’s paper to examine the dynamics between stock index and index-futures. The presence of transaction costs causes that mispricing series from non-arbitrage cost-of-carry relationships have a nonlinear form. Arbitrageurs will take a long or a short position only if the mispricing is greater in magnitude than a certain threshold and, as a result, their activity might not be observed for small values of the mispricing. This causes that the dynamics of the mispricing series might be effectively described by threshold autoregressive processes with 5 regimes. Such processes allow for a unit-root behaviour in a middle regime, while at the same time being globally second-order stationary.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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