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中文論文名稱 總統選舉事件對台灣期貨市場交易時距之影響
英文論文名稱 The Impact of Presidential Election on the Trading Durations on Taiwan Futures Market
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 99
研究生中文姓名 簡意萍
研究生英文姓名 Yi-Ping Chien
學號 697530078
學位類別 碩士
語文別 中文
口試日期 2010-05-15
論文頁數 63頁
口試委員 指導教授-邱建良
共同指導教授-李彥賢
委員-李命志
委員-俞海琴
委員-馬珂
中文關鍵字 指數分配自我相關條件交易時距模型  市場微結構  價格變動時距  GARCH模型 
英文關鍵字 EACD model  Market Microstructure  Price duration  GRACH model 
學科別分類 學科別社會科學商學
中文摘要 由於高頻率日內交易資料的取得,有越來越多的文獻去探討交易時距,而時距在市場微結構中扮演重要的角色。過去學者多採用固定的時間間隔資料,但這樣可能使金融市場上部份的訊息流入無法充分被衡量。
本研究以台灣加權股價指數期貨作為樣本,利用指數分配自我相關條件時距模型分析選舉事件在全體交易人及不同交易身份者之下,對期貨市場價格變動時距及各因素的關聯,包含交易量、買賣別和報酬率,透過聯合檢定發現,除了本國法人外,皆呈現選前選後有顯著差異之現象。再者,觀察各交易人之價格變動時距與平均期望價格變動時距之關聯,實證結果發現,本國自然人和境外外國機構投資人之平均期望價格變動時距較全體交易人之平均期望價格變動時距長。另外,以GARCH模型探討平均期望價格變動時距對價格與交易量變動率之關聯,其實證結果發現,重大選舉事件確實會對市場造成影響。
英文摘要 There are more and more literatures to discuss the duration because the high frequency intraday data are obtained easily. The duration plays an important role in the microstructure market. Most of scholars employ fixed interval data to investigate the related issues in the past, but this possibly measure the influence of information incompletely.
In this study, drawing out TXF as sample data and selecting the EACD model to examine the influence of the Taiwan presidential election on the price durations of all traders and different traders with many variables, including volume, buy/sell code and return. The result show that except domestic institutional investors there are significant differences between the pre- and post-presidential election. Then, observing the relation of price durations and conditional mean durations of every traders find that the conditional mean durations of individual investors and overseas foreign institutional investors are longer than the conditional mean durations of all. In addition, applying GARCH model to discuss the relation between conditional mean durations and change rate of price or change rate of volume. The empirical results indicate the important election activity can actually make impact on the finance market.
論文目次 目 錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第四節 研究流程圖 6
第二章 文獻回顧 7
第一節 自我相關條件交易時距模型的相關文獻 7
第二節 交易時距與交易量的相關文獻 12
第三節 交易時距與價格波動的相關文獻 16
第三章 研究方法 20
第一節 自我相關條件交易時距模型 20
第二節 GARCH模型 23
第三節 CUBIC SPLINE方法 23
第四節 EACD-X模型 24
第五節 虛擬變數模型 26
第六節 平均期望價格變動時距與價量變動之關聯 27
第四章 實證結果分析 29
第一節 資料來源、研究對象與樣本期間 29
第二節 基本敘述統計分析 30
第三節 實證模型之結果 40
一、EACD(1,1)模型實證結果 41
二、EACD(1,1)-a模型實證結果 43
三、EACD(1,1)-b模型實證結果 45
四、EACD(1,1)-c模型實證結果 47
五、EACD(1,1)-d模型實證結果 49
六、各交易人之價格變動時距與平均期望價格變動時距之關聯 51
七、平均期望價格變動時距與價量變動之關聯 52
第五章 結論 56
參考文獻 58
表目錄
【表1-1】 台灣加權股價指數期貨例年成交量統計表 1
【表2-1】 ACD模型的相關文獻總彙表 11
【表2-2】 交易時距與交易量的相關文獻總彙表 15
【表2-3】 交易時距與價格波動的相關文獻總彙表 19
【表4-1】 週振幅統計表 30
【表4-2】 全體交易人價格變動時距基本統計量 32
【表4-3】 本國法人價格變動時距基本統計量 33
【表4-4】 本國自然人價格變動時距基本統計量 34
【表4-5】 境外外國機構投資人價格變動時距基本統計量 35
【表4-6】 本國自然人與境外外國機構投資人筆數變化 36
【表4-7】 EACD(1,1) 42
【表4-8】 EACD(1,1)與成交量 44
【表4-9】 EACD(1,1)與成交量、買賣別 46
【表4-10】 EACD(1,1) 與成交量、報酬率 48
【表4-11】 EACD(1,1) 與成交量、買賣別、報酬率 50
【表4-12】 各類交易人之模型估計結果比較表 51
【表4-13】 各交易人之價格變動時距與平均期望價格變動時距 52
【表4-14】 平均期望價格變動時距與價量變動 54
【表4-15】 平均期望價格變動時距與價量變動關係彙總表 55
圖目錄
【圖1-1】 2009年台灣期貨市場各契約成交量分佈圖 2
【圖1-2】 2008年台灣期貨市場各契約成交量分佈圖 2
【圖1-3】 論文架構圖 6
【圖4-1】 週振幅統計圖 30
【圖4-2】 全體交易人價格變動時距走勢圖 37
【圖4-3】 本國法人價格變動時距走勢圖 38
【圖4-4】 本國自然人價格變動時距走勢圖 39
【圖4-5】 境外外國機構投資人價格變動時距走勢圖 40
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