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中文論文名稱 一般期貨、小型期貨與現貨市場價格發現過程與資訊傳遞現象 研究-以臺灣股價指數市場為例
英文論文名稱 Price Discovery and Information Transmission between Regular、Mini futures and Underlying spot market-Research in Taiwan Stock Index 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 93
學期 2
出版年 94
研究生中文姓名 黃昱超
研究生英文姓名 Yu-Chao Huang
學號 692491011
學位類別 碩士
語文別 中文
口試日期 2005-05-13
論文頁數 87頁
口試委員 指導教授-謝文良
委員-李進生
委員-林允永
委員-林忠機
中文關鍵字 價格發現  市場微結構模型  資訊比例 
英文關鍵字 Price discovery  Market microstructure model  Information share 
學科別分類 學科別社會科學商學
中文摘要 本研究使用 Hasbrouck(1995)所提出的資訊比例市場微結構模型,探討臺股期貨契約、小型台指期貨契約以及臺股現貨三者之間的價格發現過程與資訊傳遞現象。研究期間為2004年7月1日至2004年12月31日,共127個交易日,採用各交易日的期貨與現貨的高頻率每一分鐘或每一秒鐘的日內資料為觀察值來進行分析。利用Johansen的共整合檢定發現,臺股期貨契約、小型台指期貨契約以及臺股現貨三價格之間存在一共同長期趨勢,三市場形成共整合系統。實證結果顯示:臺股期貨於價格發現過程中居於主導地位,小型台指期貨次之,臺股現貨最後。在指數期貨市場與現貨市場之間,造成臺股期貨價格領先的因素可能是證券特性、財務槓桿、市場流通性、市場摩擦等;此外,在一般期貨契約與小型期貨契約方面,由於契約設計與交易環境相似,造成臺股期貨契約價格領先優勢的可能原因包含:較低的交易成本、較高的相對流通性以及較多的機構法人利用此契約進行交易,本文實證結果發現臺股期貨居於資訊主導地位並無異於上述理論。
英文摘要 This paper examines the price discovery process and information transmission between Taiwan stock index futures contracts、Mini Taiwan index futures contracts and underlying spot index, using a modification of Hasbrouck’s (1995)”information share” market microstructure model. The data is collected from July 1, 2004 to December 31, 2004, and we use 1-minute resolution or 1-second resolution as intraday transaction data. we find out that these three markets are co-integrated markets with one common stochastic trend. Empirical results show price discovery appears to be initiated in Taiwan stock index futures market, Mini Taiwan index futures market is the second, and spot index market is the last. In index futures and underlying spot index market, price discovery across Taiwan stock index futures market is related to security property, leverage, transaction cost, liquidity, market friction etc.. In addition, between regular and mini futures market, due to similar market design and trading environment, important advantages of regular futures market that leads to significant improvements in price discovery process may include lower transaction cost, higher liquidity, and more institution investor trading. Our results are consistent with theoretical argument that a dominant informational role for Taiwan stock index futures market.
論文目次 第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究方法 3
第三節 研究架構 4
第四節 研究流程 6
第二章 臺灣加權指數期貨與現貨市場的市場概況 7
第一節 台灣期貨市場概況 7
第二節 台灣期貨市場的交易機制與環境 8
第三節 臺股期貨契約與小型臺指期貨契約 11
第四節 台灣股票市場的交易機制 18
第三章 理論與文獻探討 21
第一節 指數期貨的價格發現與資訊傳遞 21
第二節 文獻探討 28
第四章 研究方法 36
第一節 市場微結構價格模型 37
第二節 共整合與共整合檢定:Johansen 最大概似共整合檢定法 38
第三節 誤差修正模型與向量自我迴歸模型 42
第四節 資訊比例(Information Share) 44
第五章 實證結果分析 47
第一節 實證資料 47
第二節 實證結果 48
第六章 結論與研究建議 75
第一節 結論 75
第二節 研究建議 78

圖次
圖1-1 本研究之研究流程………………………………………………………6
圖2-1 臺股期貨、小型臺指期貨與現貨市場季成交值例……………………17
圖4-1 臺股期貨、小型臺指期貨與臺指現貨價格關係…………………………49
圖4-3.1a 臺股期貨日內平均成交量與日內平均交易頻率圖……………………53
圖4-3.1b 臺股期貨日內絕對報酬波動圖…………………………………………54
圖4-3.2a 小型臺指期貨日內平均成交量與日內平均交易頻率圖………………54
圖4-3.2b 小型臺指期貨日內絕對報酬波動圖……………………………………55
圖4-6.1 臺股期貨、小型臺指期貨與臺股現貨衝擊反應函數圖………………70
圖4-6.2 臺股期貨與臺股現貨衝擊反應函數圖…………………………………71
圖4-6.3 小型臺指期貨與臺股現貨衝擊反應函數圖……………………………71
圖4-6.4a 臺股期貨與小型臺指期貨衝擊反應函數圖……………………………72
圖4-6.4b 臺股期貨與小型臺指期貨衝擊反應函數圖……………………………73
表次
表2-1 臺灣指數期貨、選擇權及現貨市場成交量統計資料………………………8
表2-2 世界主要小型股價指數期貨契約比較……………………………………12
表2-3 臺股期貨與小型臺指期貨期貨契約簡介…………………………………15
表4-1 臺股期貨與小型臺指期貨合約比較………………………………………50
表4-2.1 敘述統計(以每分鐘為頻率)……………………………………………51
表4-2.2 敘述統計(以每秒鐘為頻率)……………………………………………52
表4-4.1 臺股期貨、小型臺指期貨與臺股現貨Johansen 共整合檢定……………57
表4-4.2 臺股期貨與臺股現貨Johansen 共整合檢定……………………………57
表4-4.3 小型臺指期貨與臺股現貨Johansen 共整合檢定………………………57
表4-4.4a 臺股期貨與小型臺指期貨Johansen 共整合檢定………………………58
表4-4.4b 臺股期貨與小型臺指期貨Johansen 共整合檢定………………………58
表4-5.1 臺股期貨、小型臺指期貨與臺股現貨價格發現分析……………………61
表4-5.2 臺股期貨與臺股現貨價格發現分析……………………………………62
表4-5.3 小臺股期貨與臺股現貨價格發現分析…………………………………63
表4-5.4a 臺股期貨與小型臺指期貨價格發現分析………………………………64
表4-5.4b 臺股期貨與小型臺指期貨價格發現分析………………………………65
表4.6 價格發現分整理…………………………………………………………66
參考文獻 一、 中文文獻

1. 何富雄、邱仕敏,2004,發展成功衍生性商品之要件,臺灣期貨市場,第六卷第三期,頁26~34。
2. 施雅菁,2002,小型台指期貨價格發現之研究,淡江大學財務金融所碩士論文。
3. 謝文良,2002,價格發現、資訊傳遞、與市場整合-台股期貨市場之研究,財務金融學刊,第十卷第三期,頁1~31。



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