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系統識別號 U0002-0706201214235500
中文論文名稱 指數現貨與指數期貨之門檻互動效果比較 ─台灣與美國之實證研究
英文論文名稱 Threshold Relationship between Stock Index and Stock Index Futures─ Evidence from Taiwan and the U.S.
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 100
學期 2
出版年 101
研究生中文姓名 曾玉翔
研究生英文姓名 Yu-Hsiang Tseng
學號 699530076
學位類別 碩士
語文別 中文
第二語文別 英文
口試日期 2012-05-07
論文頁數 62頁
口試委員 指導教授-聶建中
共同指導教授-陳達新
委員-韋伯韜
委員-陳鴻崑
委員-張志宏
中文關鍵字 現貨  期貨  門檻自我迴歸模型  門檻誤差修正模型 
英文關鍵字 Spot  Future  TAR-T  TECM  Threshold 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 目錄
中文論文提要:..................................I
Abstract:...................................II
謝辭.........................................III
目錄..........................................IV
圖目錄:.......................................VI
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
第三節研究流程與步驟..............................7
第四節論文架構 ..............................8
第二章相關理論與文獻回顧 ......................9
第一節價格發現理論...............................10
第二節指數現貨與指數期貨相關文獻....................11
第三章研究方法..................................17
第一節單根檢定..................................18
第二節門檻共整點檢定.............................23
第三節門檻誤差修正模型............................27
第四章實證結果與分析..............................30
第一節資料來源 ..............................30
第二節資料分析 ..............................30
第三節單根檢定 ..............................34
第四節門檻共整合檢定..............................36
第五節門檻誤差修正模型之Granger因果關係檢定..........41
第五章研究結論與建議..............................50
參考文獻:......................................53

表目錄:
表1-1 2011年世界主要證券市場之成交金額與上市公司市值總額 ........6
表4-1台灣加權指數與道瓊工業平均股價指數現貨及期貨價格敘述統計.....31
表4-2指數與指數期貨原始資料之單根檢定.........................35
表4-3指數與指數期貨一次差分之單根檢定 .......................36
表4-4落後期門檻迴歸檢定結果表...............................37
表4-5台灣加權指數現貨與指數期貨門檻共整合檢定.................39
表4-6道瓊工業平均股價指數現貨與期貨之門檻共整合檢定.............40
表4-7台灣加權指數現貨與指數期貨之門檻誤差修正模型檢定(TECM).....44
表4-8美國道瓊工業現貨與期貨之門檻誤差修正模型檢定(TECM)........47
表4-9 TECM結果綜合比較...................................49


圖目錄:
圖1-1研究流程圖..........................................7
圖4-1台灣加權指數現貨走勢圖...............................32
圖4-2台灣加權指數期貨走勢圖...............................33
圖4-3道瓊工業平均股價指數現貨走勢圖.........................33
圖4-4道瓊工業平均股價指數期貨走勢圖.........................34
圖4-5台指TAR模型門檻選取之殘差平方和圖......................40
圖4-6道瓊工業平均股價指數TAR模型門檻選取之殘差平方和圖.........41
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