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    Title: 指數現貨與指數期貨之門檻互動效果比較 : 臺灣與美國之實證研究
    Other Titles: Threshold relationship between stock index and stock index futures : evidence from Taiwan and the U.S.
    Authors: 曾玉翔;Tseng, Yu-Hsiang
    Contributors: 淡江大學財務金融學系碩士班
    聶建中
    Keywords: 現貨;期貨;門檻自我迴歸模型;門檻誤差修正模型;Spot;Future;TAR-T;TECM;Threshold
    Date: 2012
    Issue Date: 2013-04-13 10:51:31 (UTC+8)
    Abstract: 中文論文提要:
    研究期貨與現貨關係的文章已經不計其數,過去文獻多預期期貨反應新資訊之速度較快,且以國內的交易制度看,期貨揭示最新交易價格的速度遠大於現貨價格的揭示速度。除此之外,大部分的實證結果皆表示期貨較現貨具有更好的價格發現能力。雖然如此,由於各國的制度、交易系統以及交易活絡程度的不同,亦有現貨價格發現能力優於期貨之情況發生,甚或不同情況下期貨與現貨反應新資訊的速度互相領先彼此的狀況。
    因此本文根據台灣證券交易所提供之世界主要交易市場比較之資料,挑選2011年之成交金額以及上市公司市價值總額,排名第一之紐約證券交易所之道瓊工業股價平均為研究標的,並與台灣加權指數做比較。
    本研究經檢定後以TAR-T及TECM模型分別檢驗道瓊工業股價平均指數與台灣加權股價指數之現貨與期貨各自門檻效果及長短期因果關係。本研究預期在交易活絡的市場裡,期貨反應新資訊會較現貨快速,因此道瓊工業平均股價指數之指數期貨應較指數現貨有較強的價格發現能力;而台灣加權指數則可能出現指數現貨領先指數期貨之情事。研究結果證實,台灣加權指數之現貨在長期下確實領先期貨,但道瓊工業平均股價指數在長期下期貨與現貨則呈現互有領先的現象。
    Abstract:
    Previous studies have examined the relationship between futures and spots, most expected futures reflect new information faster than spots.
    Look on the domestic trading system, futures reveal the latest transaction price much faster than spots. In addition, most of the empirical results expressed futures play a better role in price discovery. Nonetheless, because of the variations indifferent countries’ institution, trading systems, and trading activeness, there are some instances spots may lead futures in price discovery, and sometimes it may leading each other under different circumstances.
    Referring to the information of world''s major trading market provided by Taiwan Stock Exchange, New York Stock Exchange(NYSE)has the highest total trading value as well as the highest total value of listed company in 2011, this study aims to compare the results between Dow Jones Industrial Average which is traded in NYSE and Taiwan Weighted Index(TAIEX) which is traded in Taiwan Stock Exchange Corporation (TWSE).
    The study will use TAR-T and TECM model to test long-term and short-term period causality between DJIA and TAIEX.
    It is expected that futures will react faster than spots in active markets, so according to the expectation, the Dow Jones futures may reveal the latest market faster than the spot. While in Taiwan, the stock index may surpass the stock index futures in price discovery.
    The outcomes are concordant with the expectation we set earlier, the stock index surpass stock index futures in Taiwan. Nonetheless, the stock index and stock index futures lead each other in America.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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