臺灣期貨市場與現貨市場間的資訊外溢效果

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Title:	臺灣期貨市場與現貨市場間的資訊外溢效果
Other Titles:	An empirical study on information spillover effects between Taiwan futures market and spot market 台灣期貨市場與現貨市場間的資訊外溢效果
Authors:	李佳穎;Li, Chia-ying
Contributors:	淡江大學管理科學研究所碩士班莊忠柱
Keywords:	Granger因果關係;同期因果關係;風險值;資訊外溢效果;Granger Causality;Instantaneous causality;Value-at-Risk;Information spillover
Date:	2010
Issue Date:	2010-09-23 16:16:14 (UTC+8)
Abstract:	本研究利用1998年7月21日到2010年3月31日的臺灣期貨交易所發行量加權股價指數現貨與期貨日資料，配適GARCH模型與TGARCH模型來估計参數，分別利用Granger因果關係與Lütkepohl(2006)同期因果關係，探討台灣加權股價指數現貨與其期貨在報酬、平均數(mean)、波動性(volatility)與風險值(VaR)、上方風險與下方風險的資訊外溢與同期資訊外溢效果。研究結果發現：台灣期貨市場與現貨市場之間不管在平均數、波動性、上方風險及下方風險下都存在雙向的因果關係，顯示某一市場不論在任何資訊變動下都會資訊外溢影響至另一市場。然而在探討單向的因果關係方面，波動性、上方風險及下方風險只存在單向的影響力，期貨市場的資訊會外溢影響現貨市場；反之，現貨市場的資訊並不會外溢影響至期貨市場。在同期因果關係檢定之下，台灣期貨市場與現貨市場在報酬、平均數、波動性、上方風險及下方風險都呈現顯著，表示兩市場間存在同期因果關係。 This study use daily data of Taiwan Futures Exchange Capitalization Weighted Stock index and futures contracts to investigate information spillover effects between the futures market and the spot market by Granger causality tests in returns, mean, volatility, upside risk and downside risk respectively. We employ TGARCH and GARCH models to estimate the VaR of futures and spot markets. We also investigate instantaneous information spillover effects between the futures market and the spot market by instantaneous causality test in returns, mean, volatility, upside risk and downside risk respectively. The findings are as follows： There exists a significant tow-way spillovers effects between the futures market and the spot market based on by Granger causality tests in returns, mean, volatility, upside risk and downside risk respectively, Besides, in the one-way spillover effects test, there exist an one-way spillover effect between the futures market and the spot market based on Granger causality tests in volatility, upside risk and downside risk. There exists a significant instantaneous causality test in returns, mean, volatility, upside risk and downside risk between the futures and spot market respectively, meaning there exists an instantaneous causality relationships between the futures and spot market.
Appears in Collections:	[Department of Management Sciences] Thesis

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