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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/4938

    Title: 非對稱平滑移轉誤差修正模型分析期貨價格與標的股價間之長短期動態關係
    Other Titles: Asymmetric Dynamic Relationship between Futures and Underlying Stock Price Using U-STECM
    Authors: 聶建中
    Contributors: 淡江大學財務金融學系
    Keywords: 非對稱平滑移轉誤差修正模型;期貨;股價;交易成本;無套利區間
    Date: 2005
    Issue Date: 2009-03-16 11:20:57 (UTC+8)
    Abstract: 本研究將分別取以美國S&P500指數及台股指數之期貨契約為研究對象,著重研究方法創新之應用,在考慮交易成本等多項因子,且考量到受正與負不同價格偏誤行徑所產生的非對稱情況之不完美市場下,運用非對稱平滑移轉誤差修正模型(U-STECM)為主之架構,分別探討各個市場中期貨價格與標的股價間之長短期動態關係。U-STECM模型改良ESTECM呈對稱型態的缺點,除了能捕捉正與負非對稱性價格偏誤之特性外,另允許了較寬幅度的無套利區間,使得移轉方程式呈現為U型。以U-STECM實證比較分析各個市場中期貨價格與標的股價間之互動關係,更可藉以瞭解兩個金融資產間之基差非線性走勢行為,並分析套利機會存在空間之大小。
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Research Paper

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